Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities (Q2162115): Difference between revisions

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English	Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities	scientific article

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scholarly article

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title

Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities (English)

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Foundations of Computational Mathematics

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publication date

5 August 2022

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full work available at URL

https://arxiv.org/abs/1912.02571

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zbMATH Keywords

curse of dimensionality

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partial differential equation

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PDE

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backward stochastic differential equation

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BSDE

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multilevel Picard

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multilevel Monte Carlo

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gradient-dependent nonlinearity

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describes a project that uses

DGM

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PDE-Net

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MaRDI profile type

MaRDI publication profile

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cites work

Deep Splitting Method for Parabolic PDEs

0 references

Solving the Kolmogorov PDE by means of 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

0 references

Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations

0 references

Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations

0 references

Deep optimal stopping

0 references

Solving high-dimensional optimal stopping problems using deep learning

0 references

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

0 references

Numerical approximation of BSDEs using local polynomial drivers and branching processes

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Simulation of BSDEs by Wiener chaos expansion

0 references

Machine learning for semi linear PDEs

0 references

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

0 references

Differentiability of the Feynman-Kac semigroup and a control application

0 references

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

0 references

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

0 references

Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

0 references

On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

0 references

The Deep Ritz Method: a deep learning-based numerical algorithm for solving variational problems

0 references

Backward Stochastic Differential Equations in Finance

0 references

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

0 references

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

0 references

Simulation of BSDEs with jumps by Wiener chaos expansion

0 references

Multilevel Monte Carlo Path Simulation

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

0 references

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

0 references

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

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

Convergence of the deep BSDE method for coupled FBSDEs

0 references

Monte Carlo complexity of global solution of integral equations

0 references

Monte Carlo complexity of parametric integration

0 references

Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

0 references

A numerical algorithm for a class of BSDEs via the branching process

0 references

Deep backward schemes for high-dimensional nonlinear PDEs

0 references

Decay in the one dimensional generalized improved Boussinesq equation

0 references

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

0 references

Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks

0 references

Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

0 references

A theoretical analysis of deep neural networks and parametric PDEs

0 references

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

0 references

Deep learning observables in computational fluid dynamics

0 references

The numerical solution of linear ordinary differential equations by feedforward neural networks

0 references

Neural networks-based backward scheme for fully nonlinear PDEs

0 references

Bounds for the ratio of two gamma functions

0 references

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

0 references

DGM: a deep learning algorithm for solving partial differential equations

0 references

Identifiers

zbMATH Open document ID

1501.65084

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Mathematics Subject Classification ID

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10.1007/S10208-021-09514-Y

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Sitelinks

Mathematics(1 entry)

mardi Publication:2162115

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+Deep Splitting Method for Parabolic PDEs
@@ Property / cites work: Deep Splitting Method for Parabolic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Solving the Kolmogorov PDE by means of deep learning
+Normal rank
@@ Property / cites work @@
+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
+Normal rank
@@ Property / cites work @@
+Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Deep optimal stopping
@@ Property / cites work: Deep optimal stopping / rank @@
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional optimal stopping problems using deep learning
+Normal rank
@@ Property / cites work @@
+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
+Normal rank
@@ Property / cites work @@
+Numerical approximation of BSDEs using local polynomial drivers and branching processes
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Simulation of BSDEs by Wiener chaos expansion
@@ Property / cites work: Simulation of BSDEs by Wiener chaos expansion / rank @@
+Normal rank
@@ Property / cites work @@
+Machine learning for semi linear PDEs
@@ Property / cites work: Machine learning for semi linear PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
+Normal rank
@@ Property / cites work @@
+Differentiability of the Feynman-Kac semigroup and a control application
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
+Normal rank
@@ Property / cites work @@
+Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
+Normal rank
@@ Property / cites work @@
+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Deep Ritz Method: a deep learning-based numerical algorithm for solving variational problems
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+DNN expression rate analysis of high-dimensional PDEs: application to option pricing
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
+Normal rank
@@ Property / cites work @@
+Simulation of BSDEs with jumps by Wiener chaos expansion
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
+Normal rank
@@ Property / cites work @@
+Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
+Normal rank
@@ Property / cites work @@
+Deep neural network approximations for solutions of PDEs based on Monte Carlo algorithms
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Monte Carlo complexity of global solution of integral equations
+Normal rank
@@ Property / cites work @@
+Monte Carlo complexity of parametric integration
@@ Property / cites work: Monte Carlo complexity of parametric integration / rank @@
+Normal rank
@@ Property / cites work @@
+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
+Normal rank
@@ Property / cites work @@
+A numerical algorithm for a class of BSDEs via the branching process
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Decay in the one dimensional generalized improved Boussinesq equation
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
+Normal rank
@@ Property / cites work @@
+Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
+Normal rank
@@ Property / cites work @@
+A theoretical analysis of deep neural networks and parametric PDEs
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Deep learning observables in computational fluid dynamics
+Normal rank
@@ Property / cites work @@
+The numerical solution of linear ordinary differential equations by feedforward neural networks
+Normal rank
@@ Property / cites work @@
+Neural networks-based backward scheme for fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Bounds for the ratio of two gamma functions
@@ Property / cites work: Bounds for the ratio of two gamma functions / rank @@
+Normal rank
@@ Property / cites work @@
+Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving partial differential equations
+Normal rank
@@ Property / DOI @@
+.1007/S10208-021-09514-Y
@@ Property / DOI: 10.1007/S10208-021-09514-Y / rank @@
+Normal rank