Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (Q5161194): Difference between revisions

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scientific article; zbMATH DE number 7417323

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English	Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations	scientific article; zbMATH DE number 7417323

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instance of

scholarly article

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title

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

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Philippe von Wurstemberger

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published in

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

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publication date

29 October 2021

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full work available at URL

https://arxiv.org/abs/1807.01212

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https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7776969

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zbMATH Keywords

information based complexity

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high-dimensional semilinear backward stochastic differential equations

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high-dimensional PDEs

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tractability of multivariate problems

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multilevel Monte Carlo method

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multilevel Picard approximations

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curse of dimensionality

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applied mathematics

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computational mathematics

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complexity

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MaRDI profile type

MaRDI publication profile

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cites work

Infinite-dimensional quadrature and approximation of distributions

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Q3504233

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Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation

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Monte Carlo complexity of global solution of integral equations

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Q4433869

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Tractability of multivariate problems. Volume I: Linear information

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Tractability of multivariate problems. Volume II: Standard information for functionals.

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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

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Nesting Monte Carlo for high-dimensional non-linear PDEs

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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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Probabilistic methods for semilinear partial differential equations. Applications to finance

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Simulation of BSDEs by Wiener chaos expansion

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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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Numerical approximation of BSDEs using local polynomial drivers and branching processes

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

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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

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Deep optimal stopping

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

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

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Solving high-dimensional partial differential equations using deep learning

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DGM: a deep learning algorithm for solving partial differential equations

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

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

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

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Wahrscheinlichkeitstheorie

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Q4942162

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Identifiers

zbMATH Open document ID

1472.65157

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DOI

10.1098/rspa.2019.0630

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
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+Monte Carlo complexity of global solution of integral equations
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@@ Property / cites work @@
+Tractability of multivariate problems. Volume I: Linear information
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@@ Property / cites work @@
+Tractability of multivariate problems. Volume II: Standard information for functionals.
+Normal rank
@@ Property / cites work @@
+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
+Normal rank
@@ Property / cites work @@
+Nesting Monte Carlo for high-dimensional non-linear PDEs
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Probabilistic methods for semilinear partial differential equations. Applications to finance
+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 @@
+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 @@
+Numerical approximation of BSDEs using local polynomial drivers and branching processes
+Normal rank
@@ Property / cites work @@
+A numerical algorithm for a class of BSDEs via the branching process
+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 @@
+Deep optimal stopping
@@ Property / cites work: Deep optimal stopping / rank @@
+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 @@
+The Deep Ritz Method: a deep learning-based numerical algorithm for solving variational problems
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving 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 @@
+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 @@
+Wahrscheinlichkeitstheorie
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+Normal rank
@@ Property / cites work @@
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