Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle

By Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee

Published 2024-05-23

Everscope rating

1486.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Deep SMP-BSDE. Problem types: Stochastic Control, Optimization.

arXiv:2401.17472 · Paper rankings

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