Backward Deep BSDE Methods and Applications to Nonlinear Problems

We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Equations with terminal conditions that time-steps the BSDE backwards and apply it to differential rates problem as prototypical nonlinear of independent financial interest. The equation backward time-step is solved exactly or by Taylor-based approximation. This first application such time-stepping approach problems generators. extend case when initial value forward components X can be parameter rather than fixed similarly also learn values at intermediate times. numerical results call combination straddle, latter comparing well those obtained Forsyth Labahn specialized PDE solver.