A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations
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Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Artificial neural networks and deep learning (68T07) Evolutionary algorithms, genetic algorithms (computational aspects) (68W50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A BSDE approach for bond pricing under interest rate models with self-exciting jumps
- A finite volume method based on radial basis functions for two-dimensional nonlinear diffusion equations
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- American options with asymmetric information and reflected BSDE
- An efficient finite element method for pricing American multi-asset put options
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Deep splitting method for parabolic PDEs
- DGM: a deep learning algorithm for solving partial differential equations
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Machine learning for semi linear PDEs
- Nature-inspired optimization algorithms
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Pricing of high-dimensional American options by neural networks
- Solving high-dimensional eigenvalue problems using deep neural networks: a diffusion Monte Carlo like approach
- Solving high-dimensional optimal stopping problems using deep learning
- Solving high-dimensional partial differential equations using deep learning
- Swing options valuation: a BSDE with constrained jumps approach
Cited in
(7)- Towards fast weak adversarial training to solve high dimensional parabolic partial differential equations using XNODE-WAN
- Active learning based sampling for high-dimensional nonlinear partial differential equations
- Physics-informed neural networks for high-dimensional solutions and snaking bifurcations in nonlinear lattices
- Space-time marching-based neural direct method for the high-dimensional Hamilton-Jacobi-Bellman equation
- A finite difference method with symmetry properties for the high-dimensional Bratu equation
- Neural networks for bifurcation and linear stability analysis of steady states in partial differential equations
- Physics-informed deep learning and compressive collocation for high-dimensional diffusion-reaction equations: practical existence theory and numerics
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