Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815): Difference between revisions

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English	Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations	scientific article

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title

Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (English)

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Journal of Nonlinear Science

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publication date

8 October 2019

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full work available at URL

https://arxiv.org/abs/1709.05963

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zbMATH Keywords

deep learning

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second-order backward stochastic differential equation

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2BSDE

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numerical method

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Black-Scholes-Barenblatt equation

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Knightian uncertainty

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Hamiltonian-Jacobi-Bellman equation

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HJB equation

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nonlinear expectation

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\(G\)-Brownian motion

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describes a project that uses

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MaRDI publication profile

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Identifiers

zbMATH Open document ID

1442.91116

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Mathematics Subject Classification ID

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10.1007/S00332-018-9525-3

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Sitelinks

Mathematics(1 entry)

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