bsde
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Deep Global, Local and MultiStep solvers approximating the solutions of FBSDEs with jumps which are related to a class of (PIDEs) Partial Integro-Differential Equations.
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Nov 27, 2024 - Python
McKean-Vlasov FBSDE solver for interacting agents in limit order books. Distribution-dependent mean-field coupling, particle systems, equilibrium computation. Extension of deep-bsde-market-making preprint.
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Apr 3, 2026 - Python
Deep jump-BSDE solver for optimal market-making in limit order books. Discrete Poisson inventory dynamics, finite-difference validation, cross-dynamics policy evaluation.
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Apr 2, 2026 - Python
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