Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula

DOI10.14495/jsiaml.14.9OpenAlexW4210306961WikidataQ114053828 ScholiaQ114053828MaRDI QIDQ5047111

Jirô Akahori, Yui Furuichi, Kaori Okuma

Publication date: 9 November 2022

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.14.9

zbMATH Keywords

forward-backward stochastic differential equationstochastic gradient descentdeep solver of PDEnon-linear Clark-Ocone formula

Mathematics Subject Classification ID

Numerical analysis (65-XX) Quantum theory (81-XX)

Cites Work

• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Variance reduction for discretised diffusions via regression
• A discrete-time Clark-Ocone formula and its application to an error analysis
• The Malliavin Calculus and Related Topics
• Backward Stochastic Differential Equations in Finance
• Deep backward schemes for high-dimensional nonlinear PDEs

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