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math.NA2021★ 1 cited
Deep neural network approximation for high-dimensional parabolic Hamilton-Jacobi-Bellman equations
Philipp Grohs, Lukas Herrmann
The approximation of solutions to second order Hamilton--Jacobi--Bellman (HJB) equations by deep neural networks is investigated. It is shown that for HJB equations that arise in t…
math.ST2021★ 5 cited
Multilevel approximation of Gaussian random fields: Covariance compression, estimation and spatial prediction
Helmut Harbrecht, Lukas Herrmann, Kristin Kirchner +1
Centered Gaussian random fields (GRFs) indexed by compacta such as smooth, bounded Euclidean domains or smooth, compact and orientable manifolds are determined by their covariance…