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

DOI10.1007/S40304-017-0117-6zbMath1382.65016arXiv1706.04702OpenAlexW2625995436MaRDI QIDQ681281

Jiequn Han, E. Weinan, Arnulf Jentzen

Publication date: 30 January 2018

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.04702

zbMATH Keywords

controlHamilton-Jacobi-Bellman equationbackward stochastic differential equationsAllen-Cahn equationnumerical resultdeep learningFeynman-Kacnonlinear pricing model

Mathematics Subject Classification ID

PDEs in connection with fluid mechanics (35Q35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Hamilton-Jacobi equations (35F21) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Uses Software

• TensorFlow
• ImageNet
• Adam
• AlexNet

Cites Work

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• Linear Multistep Schemes for BSDEs
• A PRIMAL–DUAL ALGORITHM FOR BSDES

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