Kristoffer Andersson | DeepAI

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Featured Co-authors

Cornelis W. Oosterlee
16 publications
Adam Andersson
3 publications
Balint Negyesi
1 publication

research

∙ 01/18/2022

Convergence of a robust deep FBSDE method for stochastic control

In this paper we propose a deep learning based numerical scheme for stro...

0 Kristoffer Andersson, et al. ∙

research

∙ 10/11/2021

The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

A novel discretization is presented for forward-backward stochastic diff...

0 Balint Negyesi, et al. ∙