Simultaneously Solving FBSDEs and their Associated Semilinear Elliptic PDEs with Small Neural Operators
This provides a computationally feasible method for solving families of FBSDEs in fields like optimal control and finance, though it is incremental as it builds on existing neural operator frameworks with theoretical tweaks.
The paper tackles the problem of solving large families of forward-backward stochastic differential equations (FBSDEs) by proposing small neural operators that simultaneously approximate the solution operator, achieving uniform approximation with logarithmic depth, constant width, and polynomial rank in error. It also shows that these operators can approximate associated semilinear elliptic PDEs with quadratic growth in complexity.
Forward-backwards stochastic differential equations (FBSDEs) play an important role in optimal control, game theory, economics, mathematical finance, and in reinforcement learning. Unfortunately, the available FBSDE solvers operate on \textit{individual} FBSDEs, meaning that they cannot provide a computationally feasible strategy for solving large families of FBSDEs, as these solvers must be re-run several times. \textit{Neural operators} (NOs) offer an alternative approach for \textit{simultaneously solving} large families of decoupled FBSDEs by directly approximating the solution operator mapping \textit{inputs:} terminal conditions and dynamics of the backwards process to \textit{outputs:} solutions to the associated FBSDE. Though universal approximation theorems (UATs) guarantee the existence of such NOs, these NOs are unrealistically large. Upon making only a few simple theoretically-guided tweaks to the standard convolutional NO build, we confirm that ``small'' NOs can uniformly approximate the solution operator to structured families of FBSDEs with random terminal time, uniformly on suitable compact sets determined by Sobolev norms using a logarithmic depth, a constant width, and a polynomial rank in the reciprocal approximation error. This result is rooted in our second result, and main contribution to the NOs for PDE literature, showing that our convolutional NOs of similar depth and width but grow only \textit{quadratically} (at a dimension-free rate) when uniformly approximating the solution operator of the associated class of semilinear Elliptic PDEs to these families of FBSDEs. A key insight into how NOs work we uncover is that the convolutional layers of our NO can approximately implement the fixed point iteration used to prove the existence of a unique solution to these semilinear Elliptic PDEs.