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We apply a physics-informed deep-learning approach the PINN approach to the Black-Scholes equation for pricing American and European options. We test our approach on both simulated as well as real market data, compare it to…

证券定价 · 定量金融 2023-12-13 Ashish Dhiman , Yibei Hu

A physics informed neural network (PINN) incorporates the physics of a system by satisfying its boundary value problem through a neural network's loss function. The PINN approach has shown great success in approximating the map between the…

数值分析 · 数学 2022-03-17 Revanth Mattey , Susanta Ghosh

The recently developed physics-informed machine learning has made great progress for solving nonlinear partial differential equations (PDEs), however, it may fail to provide reasonable approximations to the PDEs with discontinuous…

数值分析 · 数学 2021-12-06 Chunyue Lv , Lei Wang , Chenming Xie

Physics-informed neural networks (PINNs) have recently emerged as an alternative way of solving partial differential equations (PDEs) without the need of building elaborate grids, instead, using a straightforward implementation. In…

偏微分方程分析 · 数学 2019-09-04 Dongkun Zhang , Lu Lu , Ling Guo , George Em Karniadakis

Physics-informed neural networks (PINNs) constitute a flexible deep learning approach for solving partial differential equations (PDEs), which model phenomena ranging from heat conduction to quantum mechanical systems. Despite their…

Physics-informed neural networks (PINNs) [4, 10] are an approach for solving boundary value problems based on differential equations (PDEs). The key idea of PINNs is to use a neural network to approximate the solution to the PDE and to…

数值分析 · 数学 2023-05-23 Victorita Dolean , Alexander Heinlein , Siddhartha Mishra , Ben Moseley

Physics-informed neural networks (PINNs) are effective in solving integer-order partial differential equations (PDEs) based on scattered and noisy data. PINNs employ standard feedforward neural networks (NNs) with the PDEs explicitly…

计算物理 · 物理学 2021-11-03 Guofei Pang , Lu Lu , George Em Karniadakis

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…

数值分析 · 数学 2023-06-08 Jiawei Guo , Yanzhong Yao , Han Wang , Tongxiang Gu

Physics-Informed Neural Networks (PINNs) have emerged as a promising approach for solving Partial Differential Equations (PDEs) by incorporating physical constraints into deep learning models. However, standard PINNs often require a large…

机器学习 · 计算机科学 2025-05-05 Keon Vin Park

In recent engineering applications using deep learning, physics-informed neural network (PINN) is a new development as it can exploit the underlying physics of engineering systems. The novelty of PINN lies in the use of partial differential…

计算工程、金融与科学 · 计算机科学 2026-02-26 Kart Leong Lim , Rahul Dutta , Mihai Rotaru

Physics-Informed Neural Networks (PINN) are neural networks (NNs) that encode model equations, like Partial Differential Equations (PDE), as a component of the neural network itself. PINNs are nowadays used to solve PDEs, fractional…

Physics-Informed Neural Networks (PINNs) are a novel computational approach for solving partial differential equations (PDEs) with noisy and sparse initial and boundary data. Although, efficient quantification of epistemic and aleatoric…

As a typical application of deep learning, physics-informed neural network (PINN) {has been} successfully used to find numerical solutions of partial differential equations (PDEs), but how to improve the limited accuracy is still a great…

机器学习 · 计算机科学 2022-08-09 Zhi-Yong Zhang , Hui Zhang , Li-Sheng Zhang , Lei-Lei Guo

Physics-informed neural networks (PINNs) [31] use automatic differentiation to solve partial differential equations (PDEs) by penalizing the PDE in the loss function at a random set of points in the domain of interest. Here, we develop a…

神经与进化计算 · 计算机科学 2019-12-03 E. Kharazmi , Z. Zhang , G. E. Karniadakis

Physics-Informed Neural Networks (PINNs) have emerged as powerful tools for solving partial differential equations (PDEs). However, training PINNs from scratch is often computationally intensive and time-consuming. To address this problem,…

数值分析 · 数学 2024-10-21 Sidi Wu

Physics-informed neural networks (PINNs) have proven to be a promising method for the rapid solving of partial differential equations (PDEs) in both forward and inverse problems. However, due to the smoothness assumption of functions…

计算物理 · 物理学 2026-03-25 Guoqiang Lei , D. Exposito , Xuerui Mao

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…

机器学习 · 计算机科学 2023-06-19 Junjun Yan , Xinhai Chen , Zhichao Wang , Enqiang Zhoui , Jie Liu

Physics-informed neural networks (PINNs) have emerged as a powerful paradigm for solving partial differential equations (PDEs) by embedding physical laws directly into neural network training. However, solving high-fidelity PDEs remains…

机器学习 · 计算机科学 2026-02-03 Olaf Yunus Laitinen Imanov

Physics-informed neural networks (PINNs) have recently been used to solve various computational problems which are governed by partial differential equations (PDEs). In this paper, we propose a multi-output physics-informed neural network…

计算工程、金融与科学 · 计算机科学 2022-12-07 Mingyuan Yang , John T. Foster

Partial differential equation (PDE) solvers underpin modern quantitative finance, governing option pricing and risk evaluation. Physics-Informed Neural Networks (PINNs) have emerged as a promising approach for solving the forward and…

计算工程、金融与科学 · 计算机科学 2025-10-07 Akshay Govind Srinivasan , Anuj Jagannath Said , Sathwik Pentela , Vikas Dwivedi , Balaji Srinivasan
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