Convergence Analysis of Iterative Deep Learning Algorithms for Fully Nonlinear BSPDEs in Non-Markovian Utility Maximization
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In utility maximization with non-Markovian setting, the value function satisfies a stochastic Hamilton-Jacobi-Bellman (HJB) equation, a fully nonlinear backward stochastic partial differential equation (BSPDE). We propose iterative deep learning algorithms for... ...
