XNet-enhanced deep BSDE method and numerical analysis
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approximation errorsdeep backward stochastic differential equation methodneural networksparabolic PDEXNet
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07)
Cites work
- A numerical algorithm for a class of BSDEs via the branching process
- A numerical scheme for BSDEs
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
- Convergence of the deep BSDE method for coupled FBSDEs
- Deep backward schemes for high-dimensional nonlinear PDEs
- Deep learning based on randomized quasi-Monte Carlo method for solving linear Kolmogorov partial differential equation
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Deep Ritz method for elliptical multiple eigenvalue problems
- Deep splitting method for parabolic PDEs
- DGM: a deep learning algorithm for solving partial differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Estimates on the generalization error of physics-informed neural networks for approximating a class of inverse problems for PDEs
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Gibbs Sampling
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Multilayer feedforward networks are universal approximators
- NAS-PINN: neural architecture search-guided physics-informed neural network for solving PDEs
- Neural network approximation: three hidden layers are enough
- Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- Solving high-dimensional partial differential equations using deep learning
- The deep Ritz method: a deep learning-based numerical algorithm for solving variational problems
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