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We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…
We represent an algorithm allowing one to construct new classes of partially integrable multidimensional nonlinear partial differential equations (PDEs) starting with the special type of solutions to the (1+1)-dimensional hierarchy of…
(Partial) differential equations (PDEs) are fundamental tools for describing natural phenomena, making their solution crucial in science and engineering. While traditional methods, such as the finite element method, provide reliable…
In this work we apply the Deep Galerkin Method (DGM) described in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations that arise in quantitative finance applications including option pricing, optimal…
We develop a mesh-free, derivative-free, matrix-free, and highly parallel localized stochastic method for high-dimensional semilinear parabolic PDEs. The efficiency of the proposed method is built upon four essential components: (i) a…
We introduce a novel meshless simulation method for the McKean-Vlasov Stochastic Differential Equation (MV-SDE) utilizing deep learning, applicable to both self-interaction and interaction scenarios. Traditionally, numerical methods for…
We present a novel deep learning method for estimating time-dependent parameters in Markov processes through discrete sampling. Departing from conventional machine learning, our approach reframes parameter approximation as an optimization…
The data-driven discovery of partial differential equations (PDEs) consistent with spatiotemporal data is experiencing a rebirth in machine learning research. Training deep neural networks to learn such data-driven partial differential…
State estimation aims at approximately reconstructing the solution $u$ to a parametrized partial differential equation from $m$ linear measurements, when the parameter vector $y$ is unknown. Fast numerical recovery methods have been…
Physics-informed deep learning often faces optimization challenges due to the complexity of solving partial differential equations (PDEs), which involve exploring large solution spaces, require numerous iterations, and can lead to unstable…
We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method consists of three main ingredients: (1) the hybridizable…
We present a new framework for computing fine-scale solutions of multiscale Partial Differential Equations (PDEs) using operator learning tools. Obtaining fine-scale solutions of multiscale PDEs can be challenging, but there are many…
This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the Multilevel Monte Carlo (MLMC) method for stochastic differential equations (SDEs) and…
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018)} to solve a number of partial differential equations (PDEs) that arise in the context of optimal stochastic control and mean field games. First, we…
In this paper, a highly parallel and derivative-free martingale neural network learning method is proposed to solve Hamilton-Jacobi-Bellman (HJB) equations arising from stochastic optimal control problems (SOCPs), as well as general…
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…
Partial differential equations (PDEs) with multiple scales or those defined over sufficiently large domains arise in various areas of science and engineering and often present problems when approximating the solutions numerically. Machine…
Numerical simulations for engineering applications solve partial differential equations (PDE) to model various physical processes. Traditional PDE solvers are very accurate but computationally costly. On the other hand, Machine Learning…
Explicit, unconditionally stable, high-order schemes for the approximation of some first- andsecond-order linear, time-dependent partial differential equations (PDEs) are proposed.The schemes are based on a weak formulation of a…
Partial Differential Equations (PDE) are fundamental to model different phenomena in science and engineering mathematically. Solving them is a crucial step towards a precise knowledge of the behaviour of natural and engineered systems. In…