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We propose a deep signature/log-signature FBSDE algorithm to solve forward-backward stochastic differential equations (FBSDEs) with state and path dependent features. By incorporating the deep signature/log-signature transformation into the…

Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new probabilistic learning scheme for solving high-dimensional…

The combination of Monte Carlo methods and deep learning has recently led to efficient algorithms for solving partial differential equations (PDEs) in high dimensions. Related learning problems are often stated as variational formulations…

It is critical yet challenging for deep learning models to properly characterize uncertainty that is pervasive in real-world environments. Although a lot of efforts have been made, such as heteroscedastic neural networks (HNNs), little work…

We present DeepFDM, a differentiable finite-difference framework for learning spatially varying coefficients in time-dependent partial differential equations (PDEs). By embedding a classical forward-Euler discretization into a convolutional…

A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliavin sensitivity problem. The control process is estimated by…

This paper investigates the approximation of stochastic delay differential equations (SDDEs) via the backward Euler-Maruyama (BEM) method under generalized monotonicity and Khasminskii-type conditions in the infinite horizon. First, by…

We present a novel framework combining Deep Operator Networks (DeepONets) with Physics-Informed Neural Networks (PINNs) to solve partial differential equations (PDEs) and estimate their unknown parameters. By integrating data-driven…

This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…

In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, including the entropic risk measure and the risk measure arising…

Neural networks suffer from spectral bias having difficulty in representing the high frequency components of a function while relaxation methods can resolve high frequencies efficiently but stall at moderate to low frequencies. We exploit…

Training networks consisting of biophysically accurate neuron models could allow for new insights into how brain circuits can organize and solve tasks. We begin by analyzing the extent to which the central algorithm for neural network…

Stochastic differential equation (SDE in short) solvers find numerous applications across various fields. However, in practical simulations, we usually resort to using Ito-Taylor series-based methods like the Euler-Maruyama method. These…

Solving partial differential equations (PDEs) and their inverse problems using Physics-informed neural networks (PINNs) is a rapidly growing approach in the physics and machine learning community. Although several architectures exist for…

The Burgers hierarchy consists of nonlinear evolutionary partial differential equations (PDEs) with progressively higher-order dispersive and nonlinear terms. Notable members of this hierarchy are the Burgers equation and the…

The physics informed neural network (PINN) is a promising method for solving time-evolution partial differential equations (PDEs). However, the standard PINN method may fail to solve the PDEs with strongly nonlinear characteristics or those…

This article explores operator learning models that can deduce solutions to partial differential equations (PDEs) on arbitrary domains without requiring retraining. We introduce two innovative models rooted in boundary integral equations…

Approximating solutions to partial differential equations (PDEs) is fundamental for the modeling of dynamical systems in science and engineering. Physics-informed neural networks (PINNs) are a recent machine learning-based approach, for…

In recent years, Physics-Informed Neural Networks (PINNs) have become a representative method for solving partial differential equations (PDEs) with neural networks. PINNs provide a novel approach to solving PDEs through optimization…

While the popularity of physics-informed neural networks (PINNs) is steadily rising, to this date, PINNs have not been successful in simulating multi-scale and singular perturbation problems. In this work, we present a new training paradigm…