Related papers: Pathwise Iteration for Backward SDEs
We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration by parts-representation of the…
Fast and accurate solutions of time-dependent partial differential equations (PDEs) are of pivotal interest to many research fields, including physics, engineering, and biology. Generally, implicit/semi-implicit schemes are preferred over…
There are many numerical methods for solving partial different equations (PDEs) on manifolds such as classical implicit, finite difference, finite element, and isogeometric analysis methods which aim at improving the interoperability…
In this work we propose a new algorithm for solving high-dimensional backward stochastic differential equations (BSDEs). Based on the general theta-discretization for the time-integrands, we show how to efficiently use eXtreme Gradient…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…
A new concept is introduced for the adaptive finite element discretization of partial differential equations that have a sparsely representable solution. Motivated by recent work on compressed sensing, a recursive mesh refinement procedure…
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic…
Stochastic differential equations (SDEs) are increasingly used in longitudinal data analysis, compartmental models, growth modelling, and other applications in a number of disciplines. Parameter estimation, however, currently requires…
Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…
This work develops a class of probabilistic algorithms for the numerical solution of nonlinear, time-dependent partial differential equations (PDEs). Current state-of-the-art PDE solvers treat the space- and time-dimensions separately,…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
We present a novel deep learning approach to approximate the solution of large, sparse, symmetric, positive-definite linear systems of equations. These systems arise from many problems in applied science, e.g., in numerical methods for…
Simulations of the dynamics generated by partial differential equations (PDEs) provide approximate, numerical solutions to initial value problems. Such simulations are ubiquitous in scientific computing, but the correctness of the results…
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The proposed method is extended from Reisinger and Wittum (2007) and…
Partial differential equations (PDEs) are widely used across the physical and computational sciences. Decades of research and engineering went into designing fast iterative solution methods. Existing solvers are general purpose, but may be…
Boolean quadratic optimization problems occur in a number of applications. Their mixed integer-continuous nature is challenging, since it is inherently NP-hard. For this motivation, semidefinite programming relaxations (SDR's) are proposed…
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the corresponding expansion is a linear combination of iterated…