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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…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) with superlinear growth coefficients. The paper establishes…
Distributed stochastic optimization algorithms can simultaneously process large-scale datasets, significantly accelerating model training. However, their effectiveness is often hindered by the sparsity of distributed networks and data…
Stochastic chemical systems with diffusion are modeled with a reaction-diffusion master equation. On a macroscopic level, the governing equation is a reaction-diffusion equation for the averages of the chemical species. On a mesoscopic…
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain…
Stochastic Differential Equations (SDEs) serve as a powerful modeling tool in various scientific domains, including systems science, engineering, and ecological science. While the specific form of SDEs is typically known for a given…
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under…
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
This paper discusses the computation of derivatives for optimization problems governed by linear hyperbolic systems of partial differential equations (PDEs) that are discretized by the discontinuous Galerkin (dG) method. An efficient and…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
In this paper, we propose a model reduction method for solving multiscale elliptic PDEs with random coefficients in the multiquery setting using an optimization approach. The optimization approach enables us to construct a set of localized…
In this work we develop a novel domain splitting strategy for the solution of partial differential equations. Focusing on a uniform discretization of the $d$-dimensional advection-diffusion equation, our proposal is a two-level algorithm…
Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control variates parameterized by neural networks, in order to learn…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
Recent advances in deep learning makes solving parabolic partial differential equations (PDEs) in high dimensional spaces possible via forward-backward stochastic differential equation (FBSDE) formulations. The implementation of most…
This paper deals with the gradient extremum seeking control for static scalar maps with actuators governed by distributed diffusion partial differential equations (PDEs). To achieve the real-time optimization objective, we design a…
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic…
Common techniques for the spatial discretisation of PDEs on a macroscale grid include finite difference, finite elements and finite volume methods. Such methods typically impose assumed microscale structures on the subgrid fields, so…