A deep branching solver for fully nonlinear partial differential equations

DOI10.1016/j.jcp.2023.112712arXiv2203.03234OpenAlexW4389776469MaRDI QIDQ6196609

Nicolas Privault, Guillaume Penent, Jiang Yu Nguwi

Publication date: 14 March 2024

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.03234

zbMATH Keywords

Monte Carlo methodbranching processfully nonlinear PDEdeep neural networkdeep BSDEdeep Galerkin

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Parabolic equations and parabolic systems (35Kxx)

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