Related papers: Numerical Valuation of Derivatives in High-Dimensi…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE…
We propose algorithms for solving high-dimensional Partial Differential Equations (PDEs) that combine a probabilistic interpretation of PDEs, through Feynman-Kac representation, with sparse interpolation. Monte-Carlo methods and…
We study the principal component analysis (PCA) based approach introduced by Reisinger & Wittum (2007) for the approximation of Bermudan basket option values via partial differential equations (PDEs). This highly efficient approximation…
We introduce a Monte Carlo method for computing derivatives of the solution to a partial differential equation (PDE) with respect to problem parameters (such as domain geometry or boundary conditions). Derivatives can be evaluated at…
We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the PDE is rewritten in its dual stochastic control…
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). Recently, several deep learning-based approximation algorithms for attacking this problem…
We propose a finite-dimensional control-based method to approximate solution operators for evolutional partial differential equations (PDEs), particularly in high-dimensions. By employing a general reduced-order model, such as a deep neural…
This paper develops a probabilistic numerical method for solution of partial differential equations (PDEs) and studies application of that method to PDE-constrained inverse problems. This approach enables the solution of challenging inverse…
High-dimensional partial-differential equations (PDEs) arise in a number of fields of science and engineering, where they are used to describe the evolution of joint probability functions. Their examples include the Boltzmann and…
We present a PDE-based approach for the multidimensional extrapolation of smooth scalar quantities across interfaces with kinks and regions of high curvature. Unlike the commonly used method of [2] in which normal derivatives are…
The accurate numerical solution of partial differential equations is a central task in numerical analysis allowing to model a wide range of natural phenomena by employing specialized solvers depending on the scenario of application. Here,…
The numerical solution of high dimensional partial differential equations (PDEs) is severely constrained by the curse of dimensionality (CoD), rendering classical grid--based methods impractical beyond a few dimensions. In recent years,…
We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family of PDEs after being trained without the need of sample…
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations…
The combination of Monte Carlo methods and deep learning has recently led to efficient algorithms for solving partial differential equations (PDEs) in high dimensions. Related learning problems are often stated as variational formulations…
Partial Differential Equations (PDEs) are central to science and engineering. Since solving them is computationally expensive, a lot of effort has been put into approximating their solution operator via both traditional and recently…
In recent years, tremendous progress has been made on numerical algorithms for solving partial differential equations (PDEs) in a very high dimension, using ideas from either nonlinear (multilevel) Monte Carlo or deep learning. They are…
Variational quantum Monte Carlo (VMC) combined with neural-network quantum states offers a novel angle of attack on the curse-of-dimensionality encountered in a particular class of partial differential equations (PDEs); namely, the real-…