Machine learning for semi linear PDEs (Q2316193): Difference between revisions

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+.07609
@@ Property / arXiv ID: 1809.07609 / rank @@
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+Adapted solution of a backward stochastic differential equation
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
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+A probabilistic numerical method for fully nonlinear parabolic PDEs
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+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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+Numerical approximation of BSDEs using local polynomial drivers and branching processes
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Nesting Monte Carlo for high-dimensional non-linear PDEs
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+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
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+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
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+Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
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+DGM: a deep learning algorithm for solving partial differential equations
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+Optimal stochastic control, stochastic target problems, and backward SDE.
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+Approximation by superpositions of a sigmoidal function
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