activity
20162020
most citedA proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations

153 citations · 210 across the 6 of their papers we have counts for

collaborators

9 papers

math.PR2020★ 5 cited

Space-time deep neural network approximations for high-dimensional partial differential equations

Fabian Hornung, Arnulf Jentzen, Diyora Salimova

It is one of the most challenging issues in applied mathematics to approximately solve high-dimensional partial differential equations (PDEs) and most of the numerical approximatio…

math.NA2019★ 6 cited

Space-time error estimates for deep neural network approximations for differential equations

Philipp Grohs, Fabian Hornung, Arnulf Jentzen +1

Over the last few years deep artificial neural networks (DNNs) have very successfully been used in numerical simulations for a wide variety of computational problems including comp…

math.NA2019★ 46 cited

Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations

Christian Beck, Fabian Hornung, Martin Hutzenthaler +2

One of the most challenging problems in applied mathematics is the approximate solution of nonlinear partial differential equations (PDEs) in high dimensions. Standard deterministi…

math.AP2019

The stochastic nonlinear Schrödinger equation in unbounded domains and manifolds

Fabian Hornung

In this article, we construct a global martingale solution to a general nonlinear Schrödinger equation with linear multiplicative noise in the Stratonovich form. Our framework incl…

math.PR2018

Weak martingale solutions for the stochastic nonlinear Schrödinger equation driven by pure jump noise

Zdzisław Brzeźniak, Fabian Hornung, Utpal Manna

We construct a martingale solution of the stochastic nonlinear Schrödinger equation with a multiplicative noise of jump type in the Marcus canonical form. The problem is formulated…

math.NA2018★ 153 cited

A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations

Philipp Grohs, Fabian Hornung, Arnulf Jentzen +1

Artificial neural networks (ANNs) have very successfully been used in numerical simulations for a series of computational problems ranging from image classification/image recogniti…

math.AP2018

Uniqueness of martingale solutions for the stochastic nonlinear Schrödinger equation on 3d compact manifolds

Zdzislaw Brzezniak, Fabian Hornung, Lutz Weis

We prove pathwise uniqueness for solutions of the nonlinear Schrödinger equation with conservative multiplicative noise on compact 3D manifolds. In particular, we generalize the re…

math.PR2017

Martingale solutions for the stochastic nonlinear Schrödinger equation in the energy space

Zdzislaw Brzezniak, Fabian Hornung, Lutz Weis

We consider a stochastic nonlinear Schrödinger equation with multiplicative noise in an abstract framework that covers subcritical focusing and defocusing stochastic NLS in o…

math.PR2016

The nonlinear stochastic Schrödinger equation via stochastic Strichartz estimates

Fabian Hornung

We consider the stochastic NLS with nonlinear Stratonovic noise for initial values in and prove local existence and uniqueness of a mild solution for subcritical and cri…