The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
Not on the map. Why?
Abstract (arXiv)
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE method of Han, Jentzen, and E (2018) fails to converge. To overcome the convergence issues, we consider a family of FBSDEs that are equivalent to the original problem in the sense that they satisfy the same associated partial differential equation (PDE). Our algorithm proceeds in two phases: first, we approximate the initial condition for the FBSDE family, and second, we approximate the original FBSDE using the initial condition approximated in the first phase. Numerical experiments show that our method converges even when the standard deep BSDE method does not.
Key facts. Cited by 4 papers in the map (data through 14 Oct 2026). First posted on arXiv 17 Mar 2025.
Builds on
No reference list yet.
Built on by
Citing papers per year: 2025: 3; 2026: 1.
4 papers.
- 2025A deep solver for backward stochastic Volterra integral equationscited by 1
- 2025Nonlinear filtering based on density approximation and deep BSDE predictioncited by 1
- 2025High-dimensional Bayesian filtering through deep density approximationcited by 0
- 2026A Posteriori Error Analysis for Decoupled Neural Approximations of Fully Coupled FBSDEs with Control Mismatchcited by 0
- 2026A Posteriori Error Analysis for Decoupled Neural Approximations of Fully Coupled FBSDEs with Control Mismatch28 Jun 2026
- 2025High-dimensional Bayesian filtering through deep density approximation10 Nov 2025
- 2025Nonlinear filtering based on density approximation and deep BSDE prediction14 Aug 2025
- 2025A deep solver for backward stochastic Volterra integral equations23 May 2025