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We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our…
In this paper we introduce a multilevel Picard approximation algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities whose coefficient functions do not need to be constant. We also provide a full convergence…
We propose a neural network-based algorithm for solving forward and inverse problems for partial differential equations in unsupervised fashion. The solution is approximated by a deep neural network which is the minimizer of a cost…
This paper proposes a domain decomposition subspace neural network method for efficiently solving linear and nonlinear partial differential equations. By combining the principles of domain decomposition and subspace neural networks, the…
This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds for any time duration.…
Analyzing the worst-case performance of deep neural networks against input perturbations amounts to solving a large-scale non-convex optimization problem, for which several past works have proposed convex relaxations as a promising…
As an alternative to PINNs, a Deep Ritz framework is proposed to solve fully nonlinear PDEs. A least-squares algorithm is advocated to decouple the nonlinearities from the variational features of several fully nonlinear PDEs. A splitting…
This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) associated with nonlinear Levy processes under Peng's G-expectation framework.…
In this paper, we propose and study neural network based methods for solutions of high-dimensional quadratic porous medium equation (QPME). Three variational formulations of this nonlinear PDE are presented: a strong formulation and two…
Using a combination of recurrent neural networks and signature methods from the rough paths theory we design efficient algorithms for solving parametric families of path dependent partial differential equations (PPDEs) that arise in pricing…
Recent work has introduced a simple numerical method for solving partial differential equations (PDEs) with deep neural networks (DNNs). This paper reviews and extends the method while applying it to analyze one of the most fundamental…
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated…
Neural networks with randomly generated hidden weights (RaNNs) have been extensively studied, both as a standalone learning method and as an initialization for fully trainable deep learning methods. In this work, we study RaNN expressivity…
The paper focuses on unconditionally optimal error analysis of the fully discrete Galerkin finite element methods for a general nonlinear parabolic system in $\R^d$ with $d=2,3$. In terms of a corresponding time-discrete system of PDEs as…
This paper introduces an adaptive time splitting technique for the solution of stiff evolutionary PDEs that guarantees an effective error control of the simulation, independent of the fastest physical time scale for highly unsteady…
The curse-of-dimensionality taxes computational resources heavily with exponentially increasing computational cost as the dimension increases. This poses great challenges in solving high-dimensional PDEs, as Richard E. Bellman first pointed…
The branching methods developed are effective methods to solve some semi linear PDEs and are shown numerically to be able to solve some full non linear PDEs. These methods are however restricted to some small coefficients in the PDE and…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
Recently, neural networks have been widely applied for solving partial differential equations (PDEs). Although such methods have been proven remarkably successful on practical engineering problems, they have not been shown, theoretically or…
In recent years, neural networks have achieved remarkable progress in various fields and have also drawn much attention in applying them on scientific problems. A line of methods involving neural networks for solving partial differential…