A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver
Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada
Topics & Concepts
SolverApplied mathematicsScheme (mathematics)Random variateMathematicsComputer scienceMathematical optimizationMathematical analysisRandom variableStatisticsModel Reduction and Neural NetworksAdvanced Numerical Methods in Computational MathematicsNumerical methods for differential equations