Xin-Yu Cheng

Deep Truncated FBSDE Method: A Robust Solver for High-Dimensional Nonlinear PDEs and Fully Coupled FBSDEs

In this paper, we introduce a deep truncated forward-backward stochastic differential equation (FBSDE) method for high-dimensional partial differential equations (PDEs). Compared with existing deep-learning solvers for fully coupled FBSDEs, where strong coupling may lead to numerical instability, our approach exhibits...