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

DOI10.1088/1361-6544/ac337fzbMath1490.60202arXiv2008.13333OpenAlexW3082030075WikidataQ114096634 ScholiaQ114096634MaRDI QIDQ5019943

Jiequn Han, Arnulf Jentzen, E. Weinan

Publication date: 11 January 2022

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.13333

zbMATH Keywords

backward stochastic differential equationspartial differential equationshigh dimensiondeep learningnonlinear Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Uses Software

• torchdiffeq
• DP-GEN
• DGM
• Deep xVA solver
• Wasserstein GAN

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