Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

Abstract

Recently, the deep learning method has been used for solving forward–backward stochastic differential equations (FBSDEs) and parabolic partial differential equations, as it has good accuracy and performance for high-dimensional problems. In this article, we mainly solve fully coupled FBSDEs through deep learning and provide three algorithms, and the numerical results show remarkable performance, especially for high-dimensional cases.