优化停止问题的深度原始双 BSDE 方法

Jiefei Yang, Guanglian Li
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引用次数: 0

摘要

我们提出了一种新的基于停止时间迭代的深度原始双向后向随机微分方程框架来解决最优停止问题。我们提出了一种新的损失函数来学习条件期望,条件期望由延续值的子网络参数化和从现在到停止时间的空间梯度组成。该方法的显著特点包括(i) 损失函数中的马丁格尔部分减小了随机梯度的方差,这有利于神经网络的训练,并减轻了价值函数近似的误差传播;(ii) 该马丁格尔近似于 Doob-Meyer 分解中的马丁格尔,因此能以非嵌套蒙特卡罗的方式得出最优值的真实上界。我们在美式期权定价问题中检验了所提出的方法,在这些问题中,空间梯度网络可以直接得到对冲比率。
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A deep primal-dual BSDE method for optimal stopping problems
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which consists of subnetwork parameterization of a continuation value and spatial gradients from present up to the stopping time. Notable features of the method include: (i) The martingale part in the loss function reduces the variance of stochastic gradients, which facilitates the training of the neural networks as well as alleviates the error propagation of value function approximation; (ii) this martingale approximates the martingale in the Doob-Meyer decomposition, and thus leads to a true upper bound for the optimal value in a non-nested Monte Carlo way. We test the proposed method in American option pricing problems, where the spatial gradient network yields the hedging ratio directly.
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