Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks

We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations (FBSDEs). Our schemes rely on the approximating power of neural networks to estimate the solution or its gradient through minimization problems. As a consequence, we obtain methods able to tackle...

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Bibliographic Details
Published in:	Methodology and computing in applied probability Vol. 24; no. 4; pp. 2557 - 2586
Main Authors:	Germain, Maximilien, Mikael, Joseph, Warin, Xavier
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.12.2022 Springer Nature B.V Springer Verlag
Subjects:	Algorithms Business and Management Differential equations Economics Electrical Engineering Life Sciences Machine learning Mathematics Mathematics and Statistics Neural networks Optimization and Control Probability Random variables Statistics MSC 68T07 Mean-field games Neural networks 49N80 MSC 35Q89 Machine learning MSC 65C30 Deep BSDE McKean-Vlasov FBSDEs machine learning mean-field games
ISSN:	1387-5841, 1573-7713
Online Access:	Get full text
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