arXiv:2412. 03405v3 Announce Type: replace-cross Abstract: Motivated by dynamic risk measures and conditional $g$-expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic Differential Equation (BSDE).
arXiv:2607. 19173v1 Announce Type: new Abstract: Neural stochastic differential equations (SDEs) have emerged as powerful tools for learning noisy or stochastic dynamics directly from data; however, existing approaches largely assume uncoupled and continuous noise, limiting their applicability to realistic stochastic drivers, and often scale poorly in time, requiring expensive autoregressive training.
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:2609. 16406v1 Announce Type: cross Abstract: Machine learning-based partial differential equations (PDEs) solvers have attracted significant attention in recent years.
arXiv:2408. 11266v5 Announce Type: replace Abstract: Deep learning is now common across many scientific fields, including the study of partial differential equations.
arXiv:2606. 24999v1 Announce Type: new Abstract: High-dimensional partial differential equations (PDEs) with unknown coefficients arise widely in scientific machine learning, including continuous-time reinforcement learning, yet solving them efficiently in a data-driven way remains challenging.
arXiv:2510. 09685v2 Announce Type: replace-cross Abstract: Deep learning has become a pivotal technology in fields such as computer vision, scientific computing, and dynamical systems, significantly advancing these disciplines.
The stationary distribution of reflected Brownian motion (RBM) plays an important role in the analysis of high-dimensional stochastic systems, yet closed-form solutions are known only for a few special cases. Computing important performance metrics, such as tail probabilities, is even more intractable, despite their practical relevance.
arXiv:2609.30274v1 Announce Type: new Abstract: Machine Learning and more specifically Deep Learning involves solving large scale nonconvex optimization problems. Several algorithms have been propose...
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:2406. 14340v2 Announce Type: replace-cross Abstract: The standard stochastic gradient descent (SGD) optimization method, as well as adaptive methods such as the Adam optimizer fail to converge if the learning rates do not converge to zero (particularly, in the situation of constant learning rates).
In this paper, we introduce two neural-network-based numerical schemes for solving systems of coupled ergodic Backward Stochastic Differential Equations (eBSDEs), motivated by the approximation of optimal strategies within the framework of forward utilities in a regime-switching stochastic factor model. Our approach builds on the representation of such models through systems of eBSDEs introduced in [HLT20].