A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (Q2133701)

scientific article

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English	A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver	scientific article

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instance of

scholarly article

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title

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (English)

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DOI

10.1016/j.jcp.2022.110956

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Journal of Computational Physics

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publication date

5 May 2022

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full work available at URL

https://arxiv.org/abs/2101.09890

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Mathematics Subject Classification ID

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deep learning

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semilinear partial differential equations

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backward stochastic differential equations

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deep BSDE solver

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asymptotic expansion

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control variate method

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Wikidata QID

Q114163372

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describes a project that uses

Deep xVA solver

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DGM

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W3125111592

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Sitelinks

Mathematics(1 entry)

mardi Publication:2133701