Related papers: Deep Operator BSDE: a Numerical Scheme to Approxim…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
Operator learning refers to the application of ideas from machine learning to approximate (typically nonlinear) operators mapping between Banach spaces of functions. Such operators often arise from physical models expressed in terms of…
We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the…
Neural Operators offer a powerful, data-driven tool for solving parametric PDEs as they can represent maps between infinite-dimensional function spaces. In this work, we employ physics-informed Neural Operators in the context of…
Backward stochastic differential equation (BSDE)-based deep learning methods provide an alternative to Physics-Informed Neural Networks (PINNs) for solving high-dimensional partial differential equations (PDEs), offering potential…
We study backward stochastic differential equations (BSDEs) in infinite horizon and design efficient numerical schemes for solving them. We establish a probabilistic representation of the solution of the BSDE using Malliavin derivative and…
In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational…
Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE…
The deep operator networks (DeepONet), a class of neural operators that learn mappings between function spaces, have recently been developed as surrogate models for parametric partial differential equations (PDEs). In this work we propose a…
Operator learning is a recent development in the simulation of Partial Differential Equations (PDEs) by means of neural networks. The idea behind this approach is to learn the behavior of an operator, such that the resulting neural network…
We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method, proposes to approximate the required solution $X_t$ by…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
The fundamental computational issues in Bayesian inverse problems (BIP) governed by partial differential equations (PDEs) stem from the requirement of repeated forward model evaluations. A popular strategy to reduce such costs is to replace…
For initial value problems associated with operator-valued Riccati differential equations posed in the space of Hilbert--Schmidt operators existence of solutions is studied. An existence result known for algebraic Riccati equations is…
In this paper, we present a new numerical method to solve fractional differential equations. Given a fractional derivative of arbitrary real order, we present an approximation formula for the fractional operator that involves integer-order…
In this article, we introduce and analyze a deep learning based approximation algorithm for SPDEs. Our approach employs neural networks to approximate the solutions of SPDEs along given realizations of the driving noise process. If applied…
Recent work on Path-Dependent Partial Differential Equations (PPDEs) has shown that PPDE solutions can be approximated by a probabilistic representation, implemented in the literature by the estimation of conditional expectations using…
Estimation of parameters is a crucial part of model development. When models are deterministic, one can minimise the fitting error; for stochastic systems one must be more careful. Broadly parameterisation methods for stochastic dynamical…
Computing many eigenpairs of the Schr{\"o}dinger operator presents a computational bottleneck in large-scale quantum simulations due to the global communication overhead of explicit orthogonalization. To address this issue, we propose a…
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.