Author

Patrick Cheridito

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#machine learning Dec 2020

Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems

A deep learning based approximation algorithm for solutions of stochastic partial differential equations (SPDEs) using a deep neural network for every realization of the driving noise process of a SPDE to approximate the solution process of the SPDE under consideration.

C. Beck, S. Becker, Patrick Cheridito et al. · arXiv.org · 16 citations · ⚡2