Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067): Difference between revisions

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+On irregular functionals of SDEs and the Euler scheme
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+Error analysis of the optimal quantization algorithm for obstacle problems.
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+Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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+Machine learning for semi 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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+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Multilayer feedforward networks are universal approximators
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+A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
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+Variational inequalities and the pricing of American options
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+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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+Adapted solution of a backward stochastic differential equation
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+Nesting Monte Carlo for high-dimensional non-linear PDEs
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+A numerical scheme for BSDEs
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