An encoded FBSNN uses tensor encoding of inputs as images and CNN processing to approximate high-dimensional BSDEs more efficiently than vanilla FBSNN.
VOLATILITIES, Pricing and hedging derivative securities in markets with uncertain volatilities
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Encoded Forward Backward Stochastic Neural Network for High-Dimensional Backward Stochastic Differential Equations and Parabolic Partial Differential Equations
An encoded FBSNN uses tensor encoding of inputs as images and CNN processing to approximate high-dimensional BSDEs more efficiently than vanilla FBSNN.