Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes

9 December 2020

Papers citing "Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes"

12 / 12 papers shown

Title
Neural networks-based backward scheme for fully nonlinear PDEs H. Pham X. Warin Maximilien Germain 37 86 0 31 Jul 2019
Deep splitting method for parabolic PDEs C. Beck S. Becker Patrick Cheridito Arnulf Jentzen Ariel Neufeld 54 127 0 08 Jul 2019
Deep backward schemes for high-dimensional nonlinear PDEs Côme Huré H. Pham X. Warin AI4CE 55 98 0 05 Feb 2019
Convergence of the Deep BSDE Method for Coupled FBSDEs Jiequn Han Jihao Long 53 158 0 03 Nov 2018
Machine Learning for semi linear PDEs Quentin Chan-Wai-Nam Joseph Mikael X. Warin ODL 56 112 0 20 Sep 2018
Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black-Scholes Partial Differential Equations Julius Berner Philipp Grohs Arnulf Jentzen 47 182 0 09 Sep 2018
A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations Philipp Grohs F. Hornung Arnulf Jentzen Philippe von Wurstemberger 47 170 0 07 Sep 2018
Forward-Backward Stochastic Neural Networks: Deep Learning of High-dimensional Partial Differential Equations M. Raissi 92 186 0 19 Apr 2018
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations C. Beck Weinan E Arnulf Jentzen 46 330 0 18 Sep 2017
DGM: A deep learning algorithm for solving partial differential equations Justin A. Sirignano K. Spiliopoulos AI4CE 84 2,057 0 24 Aug 2017
Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations Weinan E Jiequn Han Arnulf Jentzen 115 797 0 15 Jun 2017
Adam: A Method for Stochastic Optimization Diederik P. Kingma Jimmy Ba ODL 1.4K 149,842 0 22 Dec 2014