Discussion Papers 2025

CIRJE-F-1245	"Asymptotic Expansions as Control Variates for Deep Solvers to Fully-coupled Forward-backward Stochastic Differential Equations"
Author Name	Naito, Makoto, Taiga Saito, Akihiko Takahashi, and Kohta Takehara
Date	March 2025
Full Paper	PDF file
Remarks	Forthcoming in PLOS one

Abstract
Coupled forward-backward stochastic differential equations (FBSDEs) are closely related to financially important issues such as optimal investment. However, it is well known that obtaining solutions is challenging, even when employing numerical methods. In this paper, we propose new methods that combine an algorithm recently developed for coupled FBSDEs and an asymptotic expansion approach to those FBSDEs as control variates for learning of the neural networks. The proposed method is demonstrated to perform better than the original algorithm in numerical examples, including one with a financial implication. The results show that the proposed method exhibits not only faster convergence but also greater stability in computation.
Keywords:

Abstract

Coupled forward-backward stochastic differential equations (FBSDEs) are closely related to financially important issues such as optimal investment. However, it is well known that obtaining solutions is challenging, even when employing numerical methods. In this paper, we propose new methods that combine an algorithm recently developed for coupled FBSDEs and an asymptotic expansion approach to those FBSDEs as control variates for learning of the neural networks. The proposed method is demonstrated to perform better than the original algorithm in numerical examples, including one with a financial implication. The results show that the proposed method exhibits not only faster convergence but also greater stability in computation.

Keywords: