RNN-BSDE method for high-dimensional fractional backward stochastic differential equations with Wick-It\^o integrals

Abstract

Fractional Brownian motions(fBMs) are not semimartingales so the classical theory of It\^o integral can't apply to fBMs. Wick integration as one of the applications of Malliavin calculus to stochastic analysis is a fine definition for fBMs. We consider the fractional forward backward stochastic differential equations(fFBSDEs) driven by a fBM that have the Hurst parameter in (1/2,1) where $\int_{0}^{t} f_s \, dB_s^H$ is in the sense of a Wick integral, and relate our fFBSDEs to the system of partial differential equations by using an analogue of the It\^o formula for Wick integrals. And we develop a deep learning algorithm referred to as the RNN-BSDE method based on recurrent neural networks which is exactly designed for solving high-dimensional fractional BSDEs and their corresponding partial differential equations.