Paper ID: 2204.05796

A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs

Shaolin Ji, Shige Peng, Ying Peng, Xichuan Zhang

In this paper, we mainly focus on the numerical solution of high-dimensional stochastic optimal control problem driven by fully-coupled forward-backward stochastic differential equations (FBSDEs in short) through deep learning. We first transform the problem into a stochastic Stackelberg differential game(leader-follower problem), then a cross-optimization method (CO method) is developed where the leader's cost functional and the follower's cost functional are optimized alternatively via deep neural networks. As for the numerical results, we compute two examples of the investment-consumption problem solved through stochastic recursive utility models, and the results of both examples demonstrate the effectiveness of our proposed algorithm.

Submitted: Apr 12, 2022