On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
global results on some nonlinear partial differential equations for direct and inverse problems
در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
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 gradient of the solution playing the role of the policy function, and the loss function given by the error between the prescribed terminal condition and the solut...
متن کاملMachine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number of financial assets in a portfolio. Moreover, such PDEs are often fully nonli...
متن کاملOn the Exact Solution for Nonlinear Partial Differential Equations
In this study, we aim to construct a traveling wave solution for nonlinear partial differential equations. In this regards, a cosine-function method is used to find and generate the exact solutions for three different types of nonlinear partial differential equations such as general regularized long wave equation (GRLW), general Korteweg-de Vries equation (GKDV) and general equal width wave equ...
متن کاملExact Solution for Nonlinear Local Fractional Partial Differential Equations
In this work, we extend the existing local fractional Sumudu decomposition method to solve the nonlinear local fractional partial differential equations. Then, we apply this new algorithm to resolve the nonlinear local fractional gas dynamics equation and nonlinear local fractional Klein-Gordon equation, so we get the desired non-differentiable exact solutions. The steps to solve the examples a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Scientific Computing
سال: 2019
ISSN: 0885-7474,1573-7691
DOI: 10.1007/s10915-018-00903-0