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Communications in Mathematics and Statistics

, Volume 5, Issue 4, pp 349–380 | Cite as

Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential Equations

  • Weinan E
  • Jiequn Han
  • Arnulf Jentzen
Article

Abstract

We study a new algorithm for solving parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) in high dimension, which is based on an analogy between the BSDE and reinforcement learning with the gradient of the solution playing the role of the policy function, and the loss function given by the error between the prescribed terminal condition and the solution of the BSDE. The policy function is then approximated by a neural network, as is done in deep reinforcement learning. Numerical results using TensorFlow illustrate the efficiency and accuracy of the studied algorithm for several 100-dimensional nonlinear PDEs from physics and finance such as the Allen–Cahn equation, the Hamilton–Jacobi–Bellman equation, and a nonlinear pricing model for financial derivatives.

Keywords

PDEs High dimension Backward stochastic differential equations Deep learning Control Feynman-Kac 

Mathematics Subject Classification

65M75 60H35 65C30 

Notes

Acknowledgements

Christian Beck and Sebastian Becker are gratefully acknowledged for useful suggestions regarding the implementation of the deep BSDE method. This project has been partially supported through the Major Program of NNSFC under grant 91130005, the research grant ONR N00014-13-1-0338, and the research grant DOE DE-SC0009248.

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Copyright information

© School of Mathematical Sciences, University of Science and Technology of China and Springer-Verlag GmbH Germany 2017

Authors and Affiliations

  1. 1.Beijing Institute of Big Data ResearchBeijingChina
  2. 2.Princeton UniversityPrincetonUSA
  3. 3.Peking UniversityBeijingChina
  4. 4.ETH ZurichZurichSwitzerland

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