Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations

DOI10.4208/cicp.OA-2020-0130zbMath1473.65251arXiv2005.10206OpenAlexW3028295718MaRDI QIDQ5162373

Arnulf Jentzen, Martin Hutzenthaler, Philippe von Wurstemberger, Sebastian Becker, Ramon Braunwarth

Publication date: 2 November 2021

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.10206

zbMATH Keywords

PDEpartial differential equationcurse of dimensionalityhigh-dimensionalsemilinearmultilevel Picard

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (13)

Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations ⋮ Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities ⋮ Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees ⋮ Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ A deep branching solver for fully nonlinear partial differential equations ⋮ Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations ⋮ Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations ⋮ Deep Splitting Method for Parabolic PDEs ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

Uses Software

• PDE-Net
• DGM

Cites Work

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