Deep Splitting Method for Parabolic PDEs (Q4958922): Difference between revisions

From MaRDI portal

Jump to:navigation, search

Latest revision as of 09:29, 30 July 2024

scientific article; zbMATH DE number 7395807

Language	Label	Description	Also known as
English	Deep Splitting Method for Parabolic PDEs	scientific article; zbMATH DE number 7395807

Statements

scholarly article

0 references

Deep Splitting Method for Parabolic PDEs (English)

0 references

0 references

Sebastian Becker

0 references

Patrick Cheridito

0 references

0 references

0 references

SIAM Journal on Scientific Computing

0 references

publication date

15 September 2021

0 references

full work available at URL

https://arxiv.org/abs/1907.03452

0 references

zbMATH Keywords

nonlinear partial differential equations

0 references

splitting-up method

0 references

neural networks

0 references

deep learning

0 references

describes a project that uses

0 references

0 references

0 references

MaRDI profile type

MaRDI publication profile

0 references

A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

0 references

Solving the Kolmogorov PDE by means of deep learning

0 references

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

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

A forward scheme for backward SDEs

0 references

A PRIMAL–DUAL ALGORITHM FOR BSDES

0 references

Learning Deep Architectures for AI

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

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

0 references

Finite Elemente

0 references

Machine learning for semi linear PDEs

0 references

Linear Multistep Schemes for BSDEs

0 references

Runge-Kutta schemes for backward stochastic differential equations

0 references

Numerical Stability Analysis of the Euler Scheme for BSDEs

0 references

Numerical simulation of quadratic BSDEs

0 references

Probabilistic methods for semilinear partial differential equations. Applications to finance

0 references

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

0 references

Second order discretization of backward SDEs and simulation with the cubature method

0 references

On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

0 references

Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method

0 references

A forward-backward stochastic algorithm for quasi-linear PDEs

0 references

Semigroup Splitting and Cubature Approximations for the Stochastic Navier–Stokes Equations

0 references

Numerical methods for forward-backward stochastic differential equations

0 references

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

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

Solving BSDE with Adaptive Control Variate

0 references

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

0 references

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs

0 references

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

0 references

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

0 references

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

0 references

Approximation of Stochastic Nonlinear Equations of Schrödinger Type by the Splitting Method

0 references

A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations

0 references

0 references

On the splitting-up method and stochastic partial differential equations

0 references

Loss of regularity for Kolmogorov equations

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

Convergence of the deep BSDE method for coupled FBSDEs

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

Efficient numerical Fourier methods for coupled forward-backward SDEs

0 references

Deep backward schemes for high-dimensional nonlinear PDEs

0 references

A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat 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

Probability theory. A comprehensive course

0 references

0 references

0 references

0 references

A parallel algorithm for solving BSDEs

0 references

0 references

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

0 references

Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

0 references

Deep learning observables in computational fluid dynamics

0 references

Numerical method for backward stochastic differential equations

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

Forward-backward stochastic differential equations and their applications

0 references

Continuous Markov processes and stochastic equations

0 references

Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov

0 references

Approximate Integration of Stochastic Differential Equations

0 references

Numerical Algorithms for Forward-Backward Stochastic Differential Equations

0 references

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

0 references

Solving parabolic stochastic partial differential equations via averaging over characteristics

0 references

Feynman-Kac representation of fully nonlinear PDEs and applications

0 references

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

0 references

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

0 references

Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

0 references

DGM: a deep learning algorithm for solving partial differential equations

0 references

Branching Diffusion Processes

0 references

Lectures on topics in stochastic differential equations

0 references

0 references

Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions

0 references

On the branching process for Brownian particles with an absorbing boundary

0 references

A numerical scheme for BSDEs

0 references

Identifiers

zbMATH Open document ID

0 references

10.1137/19M1297919

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4958922

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q4958922&oldid=37085395"