Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps

Rüdiger Frey; Verena Köck

doi:10.1137/23M1595710

Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps

Statistics and Mathematics

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Originalsprache	Englisch
Seiten (von - bis)	A527-A552
Fachzeitschrift	SIAM Journal on Scientific Computing
Jahrgang	47
Ausgabenummer	1
DOIs	https://doi.org/10.1137/23M1595710
Publikationsstatus	Veröffentlicht - 14 Feb. 2025

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title = "Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps",

author = "R{\"u}diger Frey and Verena K{\"o}ck",

year = "2025",

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day = "14",

doi = "10.1137/23M1595710",

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Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps. / Frey, Rüdiger ; Köck, Verena.
in: SIAM Journal on Scientific Computing, Jahrgang 47, Nr. 1, 14.02.2025, S. A527-A552.

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

TY - JOUR

T1 - Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps

AU - Frey, Rüdiger

AU - Köck, Verena

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Y1 - 2025/2/14

U2 - 10.1137/23M1595710

DO - 10.1137/23M1595710

M3 - Journal article

SN - 1064-8275

VL - 47

SP - A527-A552

JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

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