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12/29/2022
Deep Runge-Kutta schemes for BSDEs
We propose a new probabilistic scheme which combines deep learning techn...
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12/22/2022
Convergence of particles and tree based scheme for singular FBSDEs
We study an implementation of the theoretical splitting scheme introduce...
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06/29/2021
Numerical approximation of singular Forward-Backward SDEs
In this work, we study the numerical approximation of a class of singula...
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02/24/2021
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Relying on the classical connection between Backward Stochastic Differen...
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02/28/2019
