The paper introduces QD-PINN, a physics-informed neural network framework for estimating optimal stopping boundaries in quickest detection problems involving high-dimensional diffusion processes. It establishes a theoretical equivalence between the free-boundary PDE and an infinite-dimensional stochastic optimization problem, justifying the use of finite-dimensional neural networks. The authors demonstrate the method’s robustness by quantifying uncertainty with deep ensembles and Monte Carlo dropout, showing low variability and close agreement with reference numerical solutions.
arXiv:2608. 09494v1 Announce Type: cross Abstract: In this paper we provide Monte Carlo and deep neural network approximations for stochastic representations of solutions to linear elliptic partial differential equations with constant diffusion, drift and killing.
arXiv:2607. 14233v1 Announce Type: cross Abstract: Physics-informed neural networks (PINNs) have had a broad research impact in modeling domains governed by partial differential equations (PDE).
The paper introduces a deep neural-operator framework for a broad class of probabilistic models, proving a universal approximation theorem under global Lipschitz conditions and explicit network-size bounds. It requires only integrability and general tail-probability conditions on the underlying stochastic processes, which are verified for European and American option-pricing problems within the forward-backward SDE framework. A numerical example with a basket of American options demonstrates that the learned model can generate optimal stopping boundaries for new strike prices without retraining.
arXiv:2609. 16406v1 Announce Type: cross Abstract: Machine learning-based partial differential equations (PDEs) solvers have attracted significant attention in recent years.
The paper presents a theoretical framework for certifying the accuracy of physics‑informed neural networks (PINNs) used to solve partial differential equations. It derives generalization bounds that link the residual loss minimized during training to the actual error in the solution space, showing that if the neural approximation stays within a compact subset, a vanishing residual guarantees convergence to the true solution. Deterministic and probabilistic convergence results are provided, offering explicit error guarantees based on residual, boundary, and initial condition errors.
arXiv:2602.01176v2 Announce Type: replace Abstract: Physics-informed neural networks (PINNs) have emerged as a powerful paradigm for solving partial differential equations (PDEs) by embedding physica...
arXiv:2608. 00850v1 Announce Type: new Abstract: Physics-informed neural networks (PINNs) have emerged as a versatile approach for solving nonlinear partial differential equations (PDEs), yet achieving high accuracy efficiently using these techniques remains challenging for high-dimensional or multiscale systems.
arXiv:2606. 09434v1 Announce Type: new Abstract: The Fokker-Planck equation (FPE) plays a pivotal role in describing the time evolution of probability density functions (PDFs) for systems governed by stochastic dynamics.
arXiv:2607. 24726v1 Announce Type: new Abstract: The Deep Galerkin Method (DGM) and Physics Informed Neural Networks (PINNs) have become widely-used methods for solving partial differential equations (PDEs) in the rapidly growing field of scientific machine learning.
arXiv:2606. 00643v1 Announce Type: cross Abstract: Physics-Informed Neural Networks (PINNs) often train slowly or fail to converge on challenging partial differential equations (PDEs), a behavior recently linked to severely ill-conditioned loss landscapes inherited from the underlying differential operator.
arXiv:2512. 19196v4 Announce Type: replace-cross Abstract: Solving high-dimensional Fokker-Planck (FP) equations remains a challenging problem in computational physics and stochastic dynamics, due to the curse of dimensionality, unbounded domains, and complex probability landscapes.
arXiv:2608. 04778v1 Announce Type: new Abstract: Physics-informed neural networks (PINNs) incorporate governing equations into neural-network training and can approximate PDE solutions without requiring large observational datasets.