We study the strong approximation of a backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of ...

In practice the Galerkin method for solving elliptic partial differential equations yields equations involving certain integrals which cannot be evaluated analytically. Instead these integrals are ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...