Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes
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Publication:2680327
deep learningEuler-Maruyama approximationKolmogorov equationLeimkuhler-Matthews approximationMilstein discretizationnumerical analysis
Nonlinear parabolic equations (35K55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Artificial neural networks and deep learning (68T07) Rationality and learning in game theory (91A26) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Abstract: Non-linear partial differential Kolmogorov equations are successfully used to describe a wide range of time dependent phenomena, in natural sciences, engineering or even finance. For example, in physical systems, the Allen-Cahn equation describes pattern formation associated to phase transitions. In finance, instead, the Black-Scholes equation describes the evolution of the price of derivative investment instruments. Such modern applications often require to solve these equations in high-dimensional regimes in which classical approaches are ineffective. Recently, an interesting new approach based on deep learning has been introduced by E, Han, and Jentzen [1][2]. The main idea is to construct a deep network which is trained from the samples of discrete stochastic differential equations underlying Kolmogorov's equation. The network is able to approximate, numerically at least, the solutions of the Kolmogorov equation with polynomial complexity in whole spatial domains. In this contribution we study variants of the deep networks by using different discretizations schemes of the stochastic differential equation. We compare the performance of the associated networks, on benchmarked examples, and show that, for some discretization schemes, improvements in the accuracy are possible without affecting the observed computational complexity.
Nonlinear partial differential equations of Kolmogorov type appear in physical, engineering and finance applications. The authors present an approach to solve equations of this type using a deep network trained from the samples of discretized stochastic differential equation. Accuracy and computational complexity issues are studied.
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Cited in
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- Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation
- Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
- Deep splitting method for parabolic PDEs
- Solving high-dimensional partial differential equations using deep learning
- An unsupervised deep learning approach to solving partial integro-differential equations
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- A deep branching solver for fully nonlinear partial differential equations
- A Deep Learning Approximation of Non-Stationary Solutions to Wave Kinetic Equations
- Application of deep neural network for numerical approximation for averaged nonlinear integro-differential equation
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