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Solving partial differential equations (PDEs) with machine learning typically requires training a new neural network for every new equation. This optimization is slow. We introduce MetaColloc. It is an optimization-free and data-free…

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…

A new Monte-Carlo method for solving linear parabolic partial differential equations is presented. Since, in this new scheme, the particles are followed backward in time, it provides great flexibility in choosing critical points in…

In the present work, a multi-scale framework for neural network enhanced methods is proposed for approximation of function and solution of partial differential equations (PDEs). By introducing the multi-scale concept, the total solution of…

Partial differential equations (PDEs) are an essential computational kernel in physics and engineering. With the advance of deep learning, physics-informed neural networks (PINNs), as a mesh-free method, have shown great potential for fast…

We combine concepts from multilevel solvers for partial differential equations (PDEs) with neural network based deep learning and propose a new methodology for the efficient numerical solution of high-dimensional parametric PDEs. An…

We consider the simulation of Bayesian statistical inverse problems governed by large-scale linear and nonlinear partial differential equations (PDEs). Markov chain Monte Carlo (MCMC) algorithms are standard techniques to solve such…

We present a multidimensional deep learning implementation of a stochastic branching algorithm for the numerical solution of fully nonlinear PDEs. This approach is designed to tackle functional nonlinearities involving gradient terms of any…

We present the Deep Picard Iteration (DPI) method, a new deep learning approach for solving high-dimensional partial differential equations (PDEs). The core innovation of DPI lies in its use of Picard iteration to reformulate the typically…

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…

There has been rapid progress recently on the application of deep networks to the solution of partial differential equations, collectively labelled as Physics Informed Neural Networks (PINNs). In this paper, we develop Physics Informed…

We propose a new algorithm for solving parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) in high dimension, by making an analogy between the BSDE and reinforcement learning with the…

In recent years, data-driven methods have been developed to learn dynamical systems and partial differential equations (PDE). The goal of such work is discovering unknown physics and the corresponding equations. However, prior to achieving…

There has been an arising trend of adopting deep learning methods to study partial differential equations (PDEs). In this paper, we introduce a deep recurrent framework for solving time-dependent PDEs without generating large scale data…

Partial differential equations play a fundamental role in the mathematical modelling of many processes and systems in physical, biological and other sciences. To simulate such processes and systems, the solutions of PDEs often need to be…

The exit time probability, which gives the likelihood that an initial condition leaves a prescribed region of the phase space of a dynamical system at, or before, a given time, is arguably one of the most natural and important transport…

Spectral methods are an important part of scientific computing's arsenal for solving partial differential equations (PDEs). However, their applicability and effectiveness depend crucially on the choice of basis functions used to expand the…

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…

In this paper, we develop a physics-informed neural network (PINN) model for parabolic problems with a sharply perturbed initial condition. As an example of a parabolic problem, we consider the advection-dispersion equation (ADE) with a…

In this work, we present a hybrid numerical method for solving evolution partial differential equations (PDEs) by merging the time finite element method with deep neural networks. In contrast to the conventional deep learning-based…