Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients

Yifan Jiang; Jinfeng Li

doi:10.3934/puqr.2021019

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arXiv · 2101.01869

Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients

Yifan Jiang·Jinfeng Li

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Abstract

This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds for any time duration. This posterior estimate validates the convergence of the recently proposed Deep BSDE method. In addition, we developed a numerical scheme based on the Deep BSDE method and presented numerical examples in financial markets to demonstrate the high performance.

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BibTeX RIS

Yifan Jiang, Jinfeng Li. 2021-01-06. Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients. https://doi.org/10.3934/puqr.2021019

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