Nesting Monte Carlo for high-dimensional non-linear PDEs
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Publication:1713854
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Cites work
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- Pseudo random coins show more heads than tails
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Cited in
(18)- Neural network-based variational methods for solving quadratic porous medium equations in high dimensions
- An unbiased Itô type stochastic representation for transport PDEs: a toy example
- Machine learning for semi linear PDEs
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
- An overview on deep learning-based approximation methods for partial differential equations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Neural networks-based backward scheme for fully nonlinear PDEs
- Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Numerical approximation of general Lipschitz BSDEs with branching processes
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Nesting Monte Carlo for high-dimensional Non Linear PDEs
- Numerical methods for backward stochastic differential equations: a survey
- Analysis of deep Ritz methods for semilinear elliptic equations
- Deep backward schemes for high-dimensional nonlinear PDEs
- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
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