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.

A pytorch implementation of Backward Stochastic Differential Equation

Deep jump-BSDE solver for optimal market-making in limit order books. Discrete Poisson inventory dynamics, finite-difference validation, cross-dynamics policy evaluation.

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.