Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
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Publication:5019943
DOI10.1088/1361-6544/ac337fzbMath1490.60202arXiv2008.13333OpenAlexW3082030075WikidataQ114096634 ScholiaQ114096634MaRDI QIDQ5019943
Jiequn Han, Arnulf Jentzen, E. Weinan
Publication date: 11 January 2022
Published in: Nonlinearity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.13333
backward stochastic differential equationspartial differential equationshigh dimensiondeep learningnonlinear Monte Carlo
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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)
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Uses Software
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