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

DOI10.1137/19M125649XzbMath1480.60191arXiv1809.03062MaRDI QIDQ5037569

Arnulf Jentzen, Julius Berner, Philipp Grohs

Publication date: 1 March 2022

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.03062

zbMATH Keywords

curse of dimensionalityKolmogorov equationgeneralization errorempirical risk minimizationdeep learning

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Neural nets and related approaches to inference from stochastic processes (62M45)

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Uses Software

• MNIST
• Adam
• DGM

Cites Work

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