The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great power in solving high-dimensional forward-backward stochastic differential equations (FBSDEs), and inspired many applications. However, the method solves backward stochastic differential equations (BSDEs) in a forward manner, which can not be used for optimal stopping problems that in general require running BSDE backwardly. To overcome this difficulty, a recent paper [Wang, Chen, Sudjianto, Liu and Shen, arXiv:1807.06622, 2018] proposed the backward deep BSDE method to solve the optimal stopping problem. In this paper, we provide the rigorous theory for the backward deep BSDE method. Specifically, 1. We derive the a posteriori error estimation, i.e., the error of the numerical solution can be bounded by the training loss function; and; 2. We give an upper bound of the loss function, which can be sufficiently small subject to universal approximations. We give two numerical examples, which present consistent performance with the proved theory.
翻译:最佳遏制问题是金融市场的核心问题之一,其应用范围很广,例如美国和百慕大选项的定价。深入的BSDE方法[Han、Jentzen和E、PNAS、115(34):8505-8510、2018]在解决高维前向后向前向偏切差异方程式(FBSDEs)方面表现出巨大的力量,并启发了许多应用。但是,这种方法以前瞻性的方式解决了后向的随机差异方程式(BSDEs),无法用于最佳地阻止一般需要向后运行的BSDE问题。为了克服这一困难,最近的一份论文[Wang、Chen、Sudjianto、Lu和Shen,arXiv:1807.0622,2018]提出了解决最佳停止问题的后向深层BSDE方法。在这份文件中,我们为落后的深层BSDE方法提供了严格的理论。具体地说,1. 我们得出后向错误估计,即数字解决方案的错误可以被培训损失功能所约束;和2. 我们给出了一种足够一致的理论,我们提出了一种最接近的数值的理论。