Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations (Q6173002): Difference between revisions

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scientific article; zbMATH DE number 7714903

Language	Label	Description	Also known as
English	Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations	scientific article; zbMATH DE number 7714903

Statements

scholarly article

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Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations (English)

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Toshihiro Yamada

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International Journal of Computational Methods

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publication date

21 July 2023

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zbMATH Keywords

deep learning

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Kolmogorov equations

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stochastic differential equations

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high-order weak approximation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1142/s0219876221420147

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Neural Networks and Deep Learning

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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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An overview on deep learning-based approximation methods for partial differential equations

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Solving the Kolmogorov PDE by means of deep learning

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Deep Splitting Method for Parabolic PDEs

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Deep optimal stopping

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Solving high-dimensional optimal stopping problems using deep learning

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Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations

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The Pricing of Options and Corporate Liabilities

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Deep Learning Architectures

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Numerical treatment of two‐parameter singularly perturbed parabolic convection diffusion problems with non‐smooth data

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A numerical method for solving boundary and interior layers dominated parabolic problems with discontinuous convection coefficient and source terms

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A Theory of the Term Structure of Interest Rates

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A perturbation-based approach for solving fractional-order Volterra–Fredholm integro differential equations and its convergence analysis

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Higher order accurate approximations on equidistributed meshes for boundary layer originated mixed type reaction diffusion systems with multiple scale nature

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On the approximate solutions of a class of fractional order nonlinear Volterra integro-differential initial value problems and boundary value problems of first kind and their convergence analysis

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Numerical solution of singularly perturbed convection-diffusion-reaction problems with two small parameters

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Optimal error estimate using mesh equidistribution technique for singularly perturbed system of reaction-diffusion boundary-value problems

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Theoretical prospects of fractional order weakly singular Volterra Integro differential equations and their approximations with convergence analysis

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Parameter uniform optimal order numerical approximation of a class of singularly perturbed system of reaction diffusion problems involving a small perturbation parameter

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Comparison of a priori and a posteriori meshes for singularly perturbed nonlinear parameterized problems

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A higher order difference method for singularly perturbed parabolic partial differential equations

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An a posteriori based convergence analysis for a nonlinear singularly perturbed system of delay differential equations on an adaptive mesh

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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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Applied Stochastic Analysis

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Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

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DNN expression rate analysis of high-dimensional PDEs: application to option pricing

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Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

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Stochastic methods. A handbook for the natural and social sciences

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Space-time error estimates for deep neural network approximations for differential equations

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Deep neural network approximations for solutions of PDEs based on Monte Carlo algorithms

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Loss of regularity for Kolmogorov equations

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Solving high-dimensional partial differential equations using deep learning

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Solving many-electron Schrödinger equation using deep neural networks

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Solving high-dimensional eigenvalue problems using deep neural networks: a diffusion Monte Carlo like approach

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Convergence of the deep BSDE method for coupled FBSDEs

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Deep backward schemes for high-dimensional nonlinear PDEs

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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

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Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels

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A graded mesh refinement approach for boundary layer originated singularly perturbed time‐delayed parabolic convection diffusion problems

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A generalized mean-reverting equation and applications

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Continuous Markov processes and stochastic equations

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A third-order weak approximation of multidimensional Itô stochastic differential equations

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A higher order weak approximation of McKean-Vlasov type SDEs

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The Malliavin Calculus and Related Topics

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Stochastic Processes and Applications

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Deep Hidden Physics Models: Deep Learning of Nonlinear Partial Differential Equations

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Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

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A moving mesh refinement based optimal accurate uniformly convergent computational method for a parabolic system of boundary layer originated reaction-diffusion problems with arbitrary small diffusion terms

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DGM: a deep learning algorithm for solving partial differential equations

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A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver

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A weak approximation with asymptotic expansion and multidimensional Malliavin weights

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Large deviations and asymptotic methods in finance

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An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1142/S0219876221420147

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Sitelinks

Mathematics(1 entry)

mardi Publication:6173002

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