FBSDE based neural network algorithms for high-dimensional quasilinear parabolic PDEs

نویسندگان

چکیده

In this paper, we propose forward and backward stochastic differential equations (FBSDEs) based deep neural network (DNN) learning algorithms for the solution of high dimensional quasi-linear parabolic partial (PDEs), which is related to FBSDEs from Pardoux-Peng theory. The rely on a process by minimizing path-wise difference between two discrete processes, are defined time discretization DNN representation PDE solution, respectively. proposed shown generate 100-dimensional Black–Scholes–Barenblatt equation, accurate in finite region space, has convergence rate close that Euler–Maruyama scheme used discretizing FBSDEs.

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ژورنال

عنوان ژورنال: Journal of Computational Physics

سال: 2022

ISSN: ['1090-2716', '0021-9991']

DOI: https://doi.org/10.1016/j.jcp.2022.111557