Related papers: Solving non-linear Kolmogorov equations in large d…
We discretize the stochastic Allen-Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time. The resulting error bounds are analyzed for the…
We develop several deep learning algorithms for approximating families of parametric PDE solutions. The proposed algorithms approximate solutions together with their gradients, which in the context of mathematical finance means that the…
Partial Differential Equations (PDEs) are integral to modeling many scientific and engineering problems. Physics-informed Neural Networks (PINNs) have emerged as promising tools for solving PDEs by embedding governing equations into the…
While most modern machine learning methods offer speed and accuracy, few promise interpretability or explainability -- two key features necessary for highly sensitive industries, like medicine, finance, and engineering. Using eight datasets…
Nonlinear systems of partial differential equations (PDEs) may permit several distinct solutions. The typical current approach to finding distinct solutions is to start Newton's method with many different initial guesses, hoping to find…
We present an algorithm (CoDeFi) which overcomes the curse of dimensionality (CoD) in scientific computations and, especially, in mathematical finance (Fi). Our method applies a broad class of partial differential equations such as…
Ordinary and partial differential equations (DE) are used extensively in scientific and mathematical domains to model physical systems. Current literature has focused primarily on deep neural network (DNN) based methods for solving a…
Kolmogorov--Arnold Networks (KANs), a recently proposed neural network architecture, have gained significant attention in the deep learning community, due to their potential as a viable alternative to multi-layer perceptrons (MLPs) and…
Phase field models, in particular, the Allen-Cahn type and Cahn-Hilliard type equations, have been widely used to investigate interfacial dynamic problems. Designing accurate, efficient, and stable numerical algorithms for solving the phase…
We propose a novel deep learning (DL) approach to solve one-dimensional non-linear elliptic, parabolic, and hyperbolic problems on graphs. A system of physics-informed neural network (PINN) models is used to solve the differential…
This work considers stochastic Galerkin approximations of linear elliptic partial differential equations (PDEs) with stochastic forcing terms and stochastic diffusion coefficients, that cannot be bounded uniformly away from zero and…
This research introduces a new method for the transition from partial to ordinary differential equations that is based on the Kolmogorov superposition theorem. In this paper, we discuss the numerical implementation of the Kolmogorov theorem…
Many problems in science and engineering can be represented by a set of partial differential equations (PDEs) through mathematical modeling. Mechanism-based computation following PDEs has long been an essential paradigm for studying topics…
This paper explores alternative formulations of the Kolmogorov Superposition Theorem (KST) as a foundation for neural network design. The original KST formulation, while mathematically elegant, presents practical challenges due to its…
The Fokker-Plank-Kolmogorov (FPK) equation is an idealized model representing many stochastic systems commonly encountered in the analysis of stochastic structures as well as many other applications. Its solution thus provides an invaluable…
In this paper, we propose a domain-decomposition-based deep learning (DL) framework, named transient-CoMLSim, for accurately modeling unsteady and nonlinear partial differential equations (PDEs). The framework consists of two key…
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…
The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov backward equations, and associated quantum…
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…
This work presents a structure-preserving, high-order, unconditionally stable numerical method for approximating the solution to the Fisher-Kolmogorov equation on polytopic meshes, with a particular focus on its application in simulating…