A Forward Propagation Algorithm for Online Optimization of Nonlinear Stochastic Differential Equations

• Main Authors: Wang, Ziheng, Sirignano, Justin
• Format: Journal Article
• Language: English
• Published: 10.07.2022
• Subjects: Computer Science - Learning; Mathematics - Probability; Quantitative Finance - Mathematical Finance; Statistics - Machine Learning

Optimizing over the stationary distribution of stochastic differential equations (SDEs) is computationally challenging. A new forward propagation algorithm has been recently proposed for the online optimization of SDEs. The algorithm solves an SDE, derived using forward differentiation, which provid...