A deep learning method for solving Fokker-Planck equations

Publication date 19 December 2020

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Artificial neural networks and deep learning (68T07)

Abstract: The time evolution of the probability distribution of a stochastic differential equation follows the Fokker-Planck equation, which usually has an unbounded, high-dimensional domain. Inspired by our early study in cite{li2018data}, we propose a mesh-free Fokker-Planck solver, in which the solution to the Fokker-Planck equation is now represented by a neural network. The presence of the differential operator in the loss function improves the accuracy of the neural network representation and reduces the the demand of data in the training process. Several high dimensional numerical examples are demonstrated.

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