Yu, Yajie; Ganesan, Narayan; Hientzsch, Bernhard - In: Risks : open access journal 11 (2023) 3, pp. 1-16
as a prototypical nonlinear problem of independent financial interest. The nonlinear equation for the backward time …-stepping deep BSDE approach for problems with nonlinear generators. We extend the method to the case when the initial value of the …