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Balint Negyesi
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The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
B Negyesi, K Andersson, CW Oosterlee
IMA Journal of Numerical Analysis, drad092, 2024
152024
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
B Negyesi, Z Huang, CW Oosterlee
arXiv preprint arXiv:2403.18552, 2024
12024
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Z Huang, B Negyesi, CW Oosterlee
arXiv preprint arXiv:2401.17472, 2024
2024
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Articles 1–3