Unbiased deep solvers for linear parametric PDEs (Q5093244)

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Unbiased deep solvers for linear parametric PDEs

scientific article; zbMATH DE number 7563601

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English	Unbiased deep solvers for linear parametric PDEs	scientific article; zbMATH DE number 7563601

Statements

instance of

scholarly article

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title

Unbiased Deep Solvers for Linear Parametric PDEs (English)

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Applied Mathematical Finance

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publication date

26 July 2022

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full work available at URL

https://arxiv.org/abs/1810.05094

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zbMATH Keywords

Monte Carlo method

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deep neural network

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control variates

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partial differential equations

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MaRDI profile type

MaRDI publication profile

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cites work

Solving the Kolmogorov PDE by means of deep learning

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Variance reduction in Monte Carlo estimators via empirical variance minimization

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Variance reduction for discretised diffusions via regression

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Analysis of the generalization error: empirical risk minimization over deep artificial neural networks overcomes the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations

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Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

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Risk estimation via regression

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Machine learning for semi linear PDEs

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Stochastic calculus and applications

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Weak approximation of martingale representations

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The steepest descent method for forward-backward SDEs

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DNN expression rate analysis of high-dimensional PDEs: application to option pricing

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Deep neural network approximations for solutions of PDEs based on Monte Carlo algorithms

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Convergence of the deep BSDE method for coupled FBSDEs

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Solving high-dimensional partial differential equations using deep learning

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Mean-field Langevin dynamics and energy landscape of neural networks

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Deep backward schemes for high-dimensional nonlinear PDEs

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A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations

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Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

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Q3836495

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Q4529788

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A theoretical analysis of deep neural networks and parametric PDEs

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A neural network-based framework for financial model calibration

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A mean field view of the landscape of two-layer neural networks

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Solving parabolic stochastic partial differential equations via averaging over characteristics

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Variance Reduction for Simulated Diffusions

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Stochastic differential equations. An introduction with applications.

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Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

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DGM: a deep learning algorithm for solving partial differential equations

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Mean field analysis of neural networks: a central limit theorem

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Calibrating rough volatility models: a convolutional neural network approach

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Gradient convergence of deep learning-based numerical methods for BSDEs

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Identifiers

zbMATH Open document ID

1497.91340

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DOI

10.1080/1350486X.2022.2030773

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Unbiased deep solvers for linear parametric PDEs