Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing

Hui Sun^*, Feng Bao

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Original language	English
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	Volume 30
Issue number	Issue 4
Publication status	Published - 2025

Keywords

@article{5b8a5cc4ec88464cafe6f44f59255402,

title = "Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing",

keywords = "Path signature, Deep neural network (DNN), FBSDE",

author = "Hui Sun and Feng Bao",

year = "2025",

language = "English",

volume = "Volume 30",

journal = "Discrete and Continuous Dynamical Systems - Series B",

issn = "1531-3492",

number = "Issue 4",

}

TY - JOUR

T1 - Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing

AU - Sun, Hui

AU - Bao, Feng

PY - 2025

Y1 - 2025

KW - Path signature

KW - Deep neural network (DNN)

KW - FBSDE

UR - https://www.aimsciences.org/article/doi/10.3934/dcdsb.2024121

M3 - Article

SN - 1531-3492

VL - Volume 30

JO - Discrete and Continuous Dynamical Systems - Series B

JF - Discrete and Continuous Dynamical Systems - Series B

IS - Issue 4

ER -