# Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators

arXiv: https://arxiv.org/abs/2412.03405 · HTML: https://mlsanity.com/paper/2412.03405/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 9 of its 41 references that are in the map.
- First posted on arXiv 4 Dec 2024.

## Builds on (most cited first, 9 of 9)

- [Fourier Neural Operator for Parametric Partial Differential Equations](https://mlsanity.com/paper/2010.08895/) (2020)
- [DeepONet: Learning nonlinear operators for identifying differential equations based on the universal approximation theorem of operators](https://mlsanity.com/paper/1910.03193/) (2019)
- [Neural Operator: Graph Kernel Network for Partial Differential Equations](https://mlsanity.com/paper/2003.03485/) (2020)
- [Solving high-dimensional partial differential equations using deep learning](https://mlsanity.com/paper/1707.02568/) (2017)
- [Convergence of the Deep BSDE Method for Coupled FBSDEs](https://mlsanity.com/paper/1811.01165/) (2018)
- [Numerically Solving Parametric Families of High-Dimensional Kolmogorov Partial Differential Equations via Deep Learning](https://mlsanity.com/paper/2011.04602/) (2020)
- [LordNet: An Efficient Neural Network for Learning to Solve Parametric Partial Differential Equations without Simulated Data](https://mlsanity.com/paper/2206.09418/) (2022)
- [An Overview on Machine Learning Methods for Partial Differential Equations: from Physics Informed Neural Networks to Deep Operator Learning](https://mlsanity.com/paper/2408.13222/) (2024)
- [Unbiased deep solvers for linear parametric PDEs](https://mlsanity.com/paper/1810.05094/) (2018)

## Abstract (arXiv)

Motivated by dynamic risk measures and conditional g-expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic Differential Equation (BSDE). The main ingredients for this are the Wiener chaos decomposition and the classical Euler scheme for BSDEs. We show convergence of this scheme under very mild assumptions, and provide a rate of convergence in more restrictive cases. We then implement it using neural networks, and we present several numerical examples where we can check the accuracy of the method.