Solve High-Dimensional Reflected Partial Differential Equations by Neural Network Method

Solve High-Dimensional Reflected Partial Differential Equations by Neural Network Method

Reflected partial differential equations (PDEs) have important applications in financial mathematics, stochastic control, physics, and engineering. This paper aims to present a numerical method for solving high-dimensional reflected PDEs. In fact, overcoming the “dimensional curse” and approximating...

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Bibliographic Details
Main Authors: Xiaowen Shi, Xiangyu Zhang, Renwu Tang, Juan Yang
Format: Article
Language:English
Published: MDPI AG 2023-06-01
Series:Mathematical and Computational Applications
Subjects:
neural network
reflected PDEs
high-dimensional problem
penalization method
Online Access:https://www.mdpi.com/2297-8747/28/4/79

Internet

https://www.mdpi.com/2297-8747/28/4/79

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