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This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs).
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J. Han and J. Long, Convergence of the Deep BSDE method for coupled FBSDEs, Probability, Uncertainty and Quantitative Risk
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K. Tokutome and T. Yamada, Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization, Numerical Algorithms
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