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This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). Barrier…
There has been an arising trend of adopting deep learning methods to study partial differential equations (PDEs). In this paper, we introduce a deep recurrent framework for solving time-dependent PDEs without generating large scale data…
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction the solution and its gradient by multi-layer neural…
Partial differential equations frequently appear in the natural sciences and related disciplines. Solving them is often challenging, particularly in high dimensions, due to the "curse of dimensionality". In this work, we explore the…
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of…
This study develops a numerical scheme for path-dependent FBSDEs and PDEs. We introduce a Picard iteration method for solving path-dependent FBSDEs, prove its convergence to the true solution, and establish its rate of convergence. A key…
Solving partial differential equations (PDEs) using neural networks has become a central focus in scientific machine learning. Training neural networks for singularly perturbed problems is particularly challenging due to certain parameters…
This paper proposes two efficient approximation methods to solve high-dimensional fully nonlinear partial differential equations (NPDEs) and second-order backward stochastic differential equations (2BSDEs), where such high-dimensional fully…
In this paper, we present a deep learning-based numerical method for approximating high dimensional stochastic partial differential equations (SPDEs). At each time step, our method relies on a predictor-corrector procedure. More precisely,…
This paper introduces a new formulation for stochastic optimal control and stochastic dynamic optimization that ensures safety with respect to state and control constraints. The proposed methodology brings together concepts such as…
We propose a predictor-corrector adaptive method for the study of hyperbolic partial differential equations (PDEs) under uncertainty. Constructed around the framework of stochastic finite volume (SFV) methods, our approach circumvents…
The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a high accuracy and a reduction of the computation time as…
Partial differential equations (PDEs) are often computationally challenging to solve, and in many settings many related PDEs must be be solved either at every timestep or for a variety of candidate boundary conditions, parameters, or…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
We study multilevel techniques, commonly used in PDE multigrid literature, to solve structured optimization problems. For a given hierarchy of levels, we formulate a coarse model that approximates the problem at each level and provides a…
Stabilized explicit methods are particularly efficient for large systems of stiff stochastic differential equations (SDEs) due to their extended stability domain. However, they loose their efficiency when a severe stiffness is induced by…
Over the last few decades, existing Partial Differential Equation (PDE) solvers have demonstrated a tremendous success in solving complex, non-linear PDEs. Although accurate, these PDE solvers are computationally costly. With the advances…
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…
Discrete Differential Equations (DDEs) are functional equations that relate polynomially a power series $F(t,u)$ in $t$ with polynomial coefficients in a "catalytic" variable $u$ and the specializations, say at $u=1$, of $F(t,u)$ and of…
Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretability and simplicity, SDEs incorporate randomness, providing…