Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
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Publication:825596
DOI10.1007/S42985-021-00102-XzbMath1480.35101arXiv2005.05409OpenAlexW3180106877WikidataQ114216502 ScholiaQ114216502MaRDI QIDQ825596
Lorenz Richter, Nikolas Nüsken
Publication date: 17 December 2021
Published in: SN Partial Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.05409
rare event simulationdeep learningHamilton-Jacobi-Bellman PDEsdivergences between probability measuresforward-backward SDEsiterative diffusion optimisation techniques,optimal control of diffusions
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