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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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

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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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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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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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Numerical approximation of BSDEs using local polynomial drivers and branching processes

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

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Simulation of BSDEs by Wiener chaos expansion

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Machine learning for semi linear PDEs

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

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Differentiability of the Feynman-Kac semigroup and a control application

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

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Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

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

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Backward Stochastic Differential Equations in Finance

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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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Simulation of BSDEs with jumps by Wiener chaos expansion

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Multilevel Monte Carlo Path Simulation

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

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

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

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

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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Monte Carlo complexity of global solution of integral equations

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Monte Carlo complexity of parametric integration

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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

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

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Deep backward schemes for high-dimensional nonlinear PDEs

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Decay in the one dimensional generalized improved Boussinesq equation

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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic 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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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

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A theoretical analysis of deep neural networks and parametric PDEs

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

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Deep learning observables in computational fluid dynamics

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

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Neural networks-based backward scheme for fully nonlinear PDEs

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Bounds for the ratio of two gamma functions

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

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DGM: a deep learning algorithm for solving partial differential equations

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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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