Deep BSDE Solver on Bounded Domains Part I: General Loss Rate

Published 19 Aug 2025 in math.PR, cs.NA, and math.NA | (2508.14215v1)

Abstract: We consider a ramification of the deep BSDE loss functional designed to apply for BSDEs on bounded domains, i.e. with random (unbounded) time horizons. We derive a general convergence rate of the loss functional; precisely for a class of (randomly) weighted modifications of the functional. The rate is expressed in terms of the underlying discrete-time stepsize and a universal approximation distance.

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Authors (1)

Maximilian Würschmidt

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Deep BSDE Solver on Bounded Domains Part I: General Loss Rate (9 likes, 0 questions)