Deep backward schemes for high-dimensional nonlinear PDEs

5 Feb 2019 Côme Huré Huyên Pham Xavier Warin

We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate simultaneously the solution and its gradient by deep neural networks... (read more)

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