Solving the Kolmogorov PDE by means of deep learning (Q2051092)

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Solving the Kolmogorov PDE by means of deep learning

scientific article; zbMATH DE number 7389370

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English	Solving the Kolmogorov PDE by means of deep learning	scientific article; zbMATH DE number 7389370

Statements

instance of

scholarly article

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title

Solving the Kolmogorov PDE by means of deep learning (English)

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Journal of Scientific Computing

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publication date

1 September 2021

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full work available at URL

https://arxiv.org/abs/1806.00421

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zbMATH Keywords

numerical approximation method

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stochastic differential equations

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Kolmogorov equations

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deep learning

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describes a project that uses

Adam

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PRMLT

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MaRDI profile type

MaRDI publication profile

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cites work

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Numerical solution of SDE through computer experiments. Including floppy disk

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Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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A note on tamed Euler approximations

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Identifiers

zbMATH Open document ID

1490.65006

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Mathematics Subject Classification ID

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10.1007/S10915-021-01590-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:2051092