A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs

DOI10.1016/j.camwa.2024.07.015MaRDI QIDQ6585377zbMATH OpenFDO

Authors Sicong Wang, Bin Teng, Yufeng Shi, Qingfeng Zhu

Publication date 9 August 2024

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2024.07.015

zbMATH Keywords

deep learningstochastic partial differential equationsneural networksforward-backward doubly stochastic differential equations

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

Cites work

• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A deep first-order system least squares method for solving elliptic PDEs
• A first order scheme for backward doubly stochastic differential equations
• A first order semi-discrete algorithm for backward doubly stochastic differential equations
• A numerical scheme for BSDEs
• A numerical scheme for backward doubly stochastic differential equations
• A type of time-symmetric forward-backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• An implicit numerical scheme for a class of backward doubly stochastic differential equations
• Approximation error analysis of some deep backward schemes for nonlinear PDEs
• Backward doubly stochastic Volterra integral equations and their applications
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Convergence of the deep BSDE method for coupled FBSDEs
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Deep splitting method for parabolic PDEs
• Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
• FBSDE based neural network algorithms for high-dimensional quasilinear parabolic PDEs
• Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
• Learning in Modal Space: Solving Time-Dependent Stochastic PDEs Using Physics-Informed Neural Networks
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Maximum principle for backward doubly stochastic control systems with applications
• NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs
• Numerical methods for forward-backward stochastic differential equations
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Pricing options under rough volatility with backward SPDEs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Solutions to general forward-backward doubly stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Solving high-dimensional partial differential equations using deep learning
• Stochastic calculus with anticipating integrands
• Strong and weak approximation of semilinear stochastic evolution equations
• Strong stability preserving multistep schemes for forward backward stochastic differential equations
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Taylor approximations for stochastic partial differential equations
• The numerical approximation of stochastic partial differential equations
• Time discretization and Markovian iteration for coupled FBSDEs
• Wong-Zakai approximations of backward doubly stochastic differential equations
• r-adaptive deep learning method for solving partial differential equations

This page was built for publication: A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6585377)