A Deep BSDE Method for a Class of Strongly Coupled FBSDEs

Source abstract

We investigate a variant of the deep BSDE method introduced by E et al. (2017, 2018). The key novelty is that we establish an a-posteriori convergence result for the approximation of strongly coupled forward-backward stochastic differential equations (FBSDEs), i.e., our result holds without any assumptions on small time horizons, monotonicity or weak coupling that are typically imposed in the literature on the deep BSDE method. Instead, we rely on smoothness assumptions on the coefficients and cover FBSDEs in which the coupling of the BSDE into the SDE depends on both the backward component $Y$ and the control component $Z$. Numerical experiments illustrate the theoretical results and demonstrate the applicability of the proposed approach.