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The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid…

Computational Finance · Quantitative Finance 2022-10-06 Joel P. Villarino , Álvaro Leitao , José A. García-Rodríguez

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…

Numerical Analysis · Mathematics 2026-01-12 Fabio Musco , Andrea Barth

Fully connected multilayer perceptrons are used for obtaining numerical solutions of partial differential equations in various dimensions. Independent variables are fed into the input layer, and the output is considered as solution's value.…

Neural and Evolutionary Computing · Computer Science 2020-01-28 V. I. Avrutskiy

Neural networks have shown significant potential in solving partial differential equations (PDEs). While deep networks are capable of approximating complex functions, direct one-shot training often faces limitations in both accuracy and…

Numerical Analysis · Mathematics 2025-03-10 Mingxing Weng , Zhiping Mao , Jie Shen

Optimal control problems including partial differential equation (PDE) as well as integer constraints merge the combinatorial difficulties of integer programming and the challenges related to large-scale systems resulting from discretized…

Numerical Analysis · Mathematics 2021-09-09 Dominik Garmatter , Margherita Porcelli , Francesco Rinaldi , Martin Stoll

This paper studies the $d$-dimensional extension of a fictitious domain penalization technique that we previously proposed for Neumann or Robin boundary conditions. We apply Droniou's approach for non-coercive linear elliptic problems to…

Analysis of PDEs · Mathematics 2024-07-18 Bouchra Bensiali , Jacques Liandrat

A new method of numerical solution for partial differential equations is proposed. The method is based on a fast matrix multiplication algorithm. Two-dimensional Poison equation is used for comparison of the proposed method with…

Numerical Analysis · Mathematics 2016-06-02 Pavel Dourbal , Mikhail Pekker

Nitsche's method is a popular approach to implement Dirichlet-type boundary conditions in situations where a strong imposition is either inconvenient or simply not feasible. The method is widely applied in the context of unfitted finite…

Numerical Analysis · Mathematics 2019-12-17 Frits de Prenter , Christoph Lehrenfeld , André Massing

Simulating the dynamic characteristics of a PN junction at the microscopic level requires solving the Poisson's equation at every time step. Solving at every time step is a necessary but time-consuming process when using the traditional…

Computational Physics · Physics 2018-10-26 Zhongyang Zhang , Ling Zhang , Ze Sun , Nicholas Erickson , Ryan From , Jun Fan

This paper is concerned with finite element methods for Poisson's equation with rough boundary data. Conventional methods require that the boundary data $g$ of the problem belongs to $H^{1/2} (\partial \Omega)$. However, in many…

Numerical Analysis · Mathematics 2025-07-02 Huadong Gao , Yuhui Huang , Wen Xie

Soft- and hard-constrained Physics Informed Neural Networks (PINNs) have achieved great success in solving partial differential equations (PDEs). However, these methods still face great challenges when solving the Navier-Stokes equations…

Fluid Dynamics · Physics 2024-11-14 Chuyu Zhou , Tianyu Li , Chenxi Lan , Rongyu Du , Guoguo Xin , Pengyu Nan , Hangzhou Yang , Guoqing Wang , Xun Liu , Wei Li

We introduce an adaptive sampling method for the Deep Ritz method aimed at solving partial differential equations (PDEs). Two deep neural networks are used. One network is employed to approximate the solution of PDEs, while the other one is…

Machine Learning · Computer Science 2023-10-31 Xiaoliang Wan , Tao Zhou , Yuancheng Zhou

The Immersed Boundary (IB) method of Peskin (J. Comput. Phys., 1977) is useful for problems involving fluid-structure interactions or complex geometries. By making use of a regular grid that is independent of the geometry, the IB framework…

Numerical Analysis · Mathematics 2022-10-17 Brittany J. Leathers

Recently, progress has been made in the application of neural networks to the numerical analysis of partial differential equations (PDEs). In the latter the variational formulation of the Poisson problem is used in order to obtain an…

Numerical Analysis · Mathematics 2020-01-14 Johannes Müller , Marius Zeinhofer

Immersed boundary methods are high-order accurate computational tools used to model geometrically complex problems in computational mechanics. While traditional finite element methods require the construction of high-quality boundary-fitted…

Numerical Analysis · Mathematics 2024-02-27 Jennifer E. Fromm , Nils Wunsch , Kurt Maute , John A. Evans , Jiun-Shyan Chen

We propose a method combining boundary integral equations and neural networks (BINet) to solve partial differential equations (PDEs) in both bounded and unbounded domains. Unlike existing solutions that directly operate over original PDEs,…

Numerical Analysis · Mathematics 2021-10-04 Guochang Lin , Pipi Hu , Fukai Chen , Xiang Chen , Junqing Chen , Jun Wang , Zuoqiang Shi

In this paper, we investigate a sixth order elliptic equation with the simply supported boundary conditions in a polygonal domain. We propose a new method that decouples the sixth order problem into a system of second order equations.…

Numerical Analysis · Mathematics 2025-09-30 Hengguang Li , Peimeng Yin

We analyze neural network solutions to partial differential equations obtained with Physics Informed Neural Networks. In particular, we apply tools of classical finite element error analysis to obtain conclusions about the error of the Deep…

Numerical Analysis · Mathematics 2022-10-24 Piotr Minakowski , Thomas Richter

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…

Numerical Analysis · Mathematics 2020-02-26 Kailai Xu , Eric Darve

We study settings where gradient penalties are used alongside risk minimization with the goal of obtaining predictors satisfying different notions of monotonicity. Specifically, we present two sets of contributions. In the first part of the…

Machine Learning · Computer Science 2022-05-18 Joao Monteiro , Mohamed Osama Ahmed , Hossein Hajimirsadeghi , Greg Mori
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