Deep splitting method for parabolic PDEs
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Initial value problems for second-order parabolic equations (35K15) Nonlinear parabolic equations (35K55) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)
Abstract: In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational graph for each of the subproblems is comparatively small, the approach can handle extremely high-dimensional PDEs. We test the method on different examples from physics, stochastic control and mathematical finance. In all cases, it yields very good results in up to 10,000 dimensions with short run times.
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