Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM
Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM
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BSDE 的深度原始对偶算法:机器学习在 CVA 和 IM 中的应用
DOI:
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发表时间:
2017
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通讯作者:
P. Henry
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文献类型:
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作者:
P. Henry
Building heavily on the recent nice paper [Weinan E-al (2017)], we introduce a primal-dual method for solving BSDEs based on the use of neural networks, stochastic gradient descent and a dual formulation of stochastic control problems. Our algorithm is illustrated with two examples relevant in Mathematical Finance: the pricing of counterparty risk and the computation of initial margin.