Stationary Density Estimation of Itô Diffusions Using Deep Learning

DOI10.1137/21M1445363MaRDI QIDQ5886225

John Harlim, Yiqi Gu, Haizhao Yang, Senwei Liang

Publication date: 31 March 2023

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.03992

zbMATH Keywords

Fokker-Planck equationstochastic differential equationsdeep neural networkdata-driven method

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Learning and adaptive systems in artificial intelligence (68T05) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Dynamical systems in numerical analysis (37N30)

Uses Software

• Adam

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