A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs (Q6585377)

scientific article; zbMATH DE number 7894803

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English	A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs	scientific article; zbMATH DE number 7894803

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instance of

scholarly article

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title

A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs (English)

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9 August 2024

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zbMATH Keywords

forward-backward doubly stochastic differential equations

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stochastic partial differential equations

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deep learning

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neural networks

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MaRDI profile type

Publication

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cites work

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

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Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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Maximum Principle for Backward Doubly Stochastic Control Systems with Applications

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Wong-Zakai approximations of backward doubly stochastic differential equations

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Q3101969

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Strong and weak approximation of semilinear stochastic evolution equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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\(r\)-adaptive deep learning method for solving partial differential equations

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Adapted solution of a backward stochastic differential equation

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Backward doubly stochastic differential equations and systems of quasilinear SPDEs

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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A type of time-symmetric forward-backward stochastic differential equations

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Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

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Backward doubly stochastic Volterra integral equations and their applications

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Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs

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Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations

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Learning in Modal Space: Solving Time-Dependent Stochastic PDEs Using Physics-Informed Neural Networks

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Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs

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A numerical scheme for BSDEs

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

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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Forward-backward doubly stochastic differential equations and related stochastic partial differential equations

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Solutions to general forward-backward doubly stochastic differential equations

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published in

Computers & Mathematics with Applications

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Identifiers

DOI

10.1016/j.camwa.2024.07.015

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6585377