no code implementations • 30 Jan 2023 • Wansheng Wang, Jie Wang, Jinping Li, Feifei Gao, Yi Fu
We propose a deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and high-dimensional forward-backward stochastic differential equations with jumps (FBSDEJs), where the jump-diffusion process are derived by a Brownian motion and an independent compensated Poisson random measure.
