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

Institute for Statistics and Mathematics

Publication: Scientific journal › Journal article › peer-review

Original language	English
Pages (from-to)	A527-A552
Journal	SIAM Journal on Scientific Computing
Volume	47
Issue number	1
DOIs	https://doi.org/10.1137/23M1595710
Publication status	Published - 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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language = "English",

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journal = "SIAM Journal on Scientific Computing",

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

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AU - Köck, Verena

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DO - 10.1137/23M1595710

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JF - SIAM Journal on Scientific Computing

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