This paper develops an a posteriori error analysis framework for decoupled neural approximations of fully coupled forward--backward stochastic differential equations (FBSDEs). It provides an a posteriori error-analysis for the idealized discrete adapted trajectory.
arXiv:2606. 29474v1 Announce Type: cross Abstract: This paper develops an a posteriori error analysis framework for decoupled neural approximations of fully coupled forward--backward stochastic differential equations (FBSDEs).
arXiv:2606. 24271v1 Announce Type: cross Abstract: 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.
This work presents a novel approach for adapting neural network architecture along the depth based on a posteriori error estimation. By formulating neural network training as a continuous-time optimal control problem, we derive rigorous error estimates that quantify how approximation error distributes across network layers.
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].
arXiv:2606. 01122v1 Announce Type: new Abstract: We propose a five-step diagnostic protocol for residual-trained neural HJB-PIDE solvers with control-dependent L\'evy jumps, targeting a general failure mode of neural PDE methods: a learned solution can match headline scalar diagnostics while miscomputing an operator inside its training loss.
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:2411. 01982v2 Announce Type: replace-cross Abstract: We study the problem of learning controlled stochastic differential equations (SDEs) \[ dX_t = b(t,X_t,u_t)\,dt + \sigma(t,X_t,u_t)\,dW_t, \] whose drift and diffusion depend nonlinearly on time, state, and control values.
arXiv:2607. 07637v1 Announce Type: new Abstract: This work presents a novel approach for adapting neural network architecture along the depth based on a posteriori error estimation.
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).
Physics-Informed Error Field Learning (PIEFL) is a post‑training optimization framework for Physics‑Informed Neural Networks (PINNs). After a primary network reaches satisfactory accuracy, PIEFL introduces an auxiliary error network that learns the discrepancy between the current approximation and the exact solution by deriving error control equations under physical constraints. The learned error correction is then combined with the primary prediction, improving solution accuracy without modifying the primary network architecture and focusing computational resources on correcting existing prediction errors.
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:2606. 15271v1 Announce Type: cross Abstract: This work presents a transparent and reproducible benchmark study of a direct dual-network Physics-Informed Neural Network (PINN) formulation for the optimal control of a mass-spring-damper system.