A hybrid deep learning method solves high-dimensional parabolic PDEs by combining coarse stochastic trajectory sampling with local antithetic residual estimation, demonstrated up to dimension 10,000.
Probability, Uncertainty and Quantitative Risk 5(1), 5 (2020)
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A deep shotgun method for solving high-dimensional parabolic partial differential equations
A hybrid deep learning method solves high-dimensional parabolic PDEs by combining coarse stochastic trajectory sampling with local antithetic residual estimation, demonstrated up to dimension 10,000.