1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- ETH ZurichCH99 papers
- University of MünsterDE18 papers
- University of PaviaIT9 papers
- University of ViennaAT9 papers
- University of Duisburg-EssenDE7 papers
- Chinese University of Hong Kong, ShenzhenCN6 papers
- Shenzhen Research Institute of Big DataCN6 papers
- University of Maryland, College ParkUS6 papers
- Princeton UniversityUS5 papers
- TU WienAT5 papers
- Austrian Academy of SciencesAT4 papers
- Chalmers University of TechnologySE4 papers
4 papers · 2 filters
On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
Weinan E, Martin Hutzenthaler, Arnulf Jentzen +1
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineerin…
Tensor FEM for spectral fractional diffusion
Lehel Banjai, Jens M. Melenk, Ricardo H. Nochetto +3
We design and analyze several Finite Element Methods (FEMs) applied to the Caffarelli-Silvestre extension that localizes the fractional powers of symmetric, coercive, linear ellipt…
Solving high-dimensional partial differential equations using deep learning
Jiequn Han, Arnulf Jentzen, Weinan E
Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult pr…
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Mario Hefter, Arnulf Jentzen
Cox-Ingersoll-Ross (CIR) processes are extensively used in state-of-the-art models for the approximative pricing of financial derivatives. In particular, CIR processes are day afte…