Related papers: Deep Signature FBSDE Algorithm
In this paper, we consider approximating the parameter-to-solution maps of parametric partial differential equations (PPDEs) using deep neural networks (DNNs). We propose an efficient approach combining reduced collocation methods (RCMs)…
One of the core problems in mean-field control and mean-field games is to solve the corresponding McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). Most existing methods are tailored to special cases in which the…
This paper proposes a sparse Bayesian treatment of deep neural networks (DNNs) for system identification. Although DNNs show impressive approximation ability in various fields, several challenges still exist for system identification…
The goal of neuro-symbolic AI is to integrate symbolic and subsymbolic AI approaches, to overcome the limitations of either. Prominent systems include Logic Tensor Networks (LTN) or DeepProbLog, which offer neural predicates and end-to-end…
This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem. Using techniques from stochastic control, the solution to the variational problem is shown to…
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…
This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different…
We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting, we use signatures as features in feedforward neural…
We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional…
Deep neural networks (DNN) have been used to model nonlinear relations between physical quantities. Those DNNs are embedded in physical systems described by partial differential equations (PDE) and trained by minimizing a loss function that…
Machine learning for partial differential equations (PDEs) is a hot topic. In this paper we introduce and analyse a Deep BSDE scheme for nonlinear integro-PDEs with unbounded nonlocal operators -problems arising in e.g. stochastic control…
Neural controlled differential equations (CDEs) are the continuous-time analogue of recurrent neural networks, as Neural ODEs are to residual networks, and offer a memory-efficient continuous-time way to model functions of potentially…
The concept of the path-dependent partial differential equation (PPDE) was first introduced in the context of path-dependent derivatives in financial markets. Its semilinear form was later identified as a non-Markovian backward stochastic…
In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization…
We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled forward--backward SDEs, which provides an efficient probabilistic representation of this type of equation.…
In this work, we study solving (decoupled) forward-backward stochastic differential equations (FBSDEs) numerically using the regression trees. Based on the general theta-discretization for the time-integrands, we show how to efficiently use…
This work presents a physics-informed deep learning-based super-resolution framework to enhance the spatio-temporal resolution of the solution of time-dependent partial differential equations (PDE). Prior works on deep learning-based…
Fixed-point optimization of deep neural networks plays an important role in hardware based design and low-power implementations. Many deep neural networks show fairly good performance even with 2- or 3-bit precision when quantized weights…
Despite the notable success of deep neural networks (DNNs) in solving complex tasks, the training process still remains considerable challenges. A primary obstacle is the substantial time required for training, particularly as high…
This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…