Machine learning for semi linear PDEs

DOI10.1007/S10915-019-00908-3zbMath1433.68332arXiv1809.07609OpenAlexW2964016242WikidataQ114225626 ScholiaQ114225626MaRDI QIDQ2316193

Joseph Mikael, Xavier Warin, Quentin Chan-Wai-Nam

Publication date: 26 July 2019

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.07609

zbMATH Keywords

machine learningdeep learningMonte-Carlo methodssemilinear PDEs

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Monte Carlo methods (65C05) Learning and adaptive systems in artificial intelligence (68T05) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• Adam
• DGM

Cites Work

• Optimal stochastic control, stochastic target problems, and backward SDE.
• Adapted solution of a backward stochastic differential equation
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Numerical approximation of BSDEs using local polynomial drivers and branching processes
• Nesting Monte Carlo for high-dimensional non-linear PDEs
• Applications of Malliavin calculus to Monte Carlo methods in finance
• DGM: a deep learning algorithm for solving partial differential equations
• Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Approximation by superpositions of a sigmoidal function

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