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math.OC2021★ 17 cited
Solving eigenvalue PDEs of metastable diffusion processes using artificial neural networks
Wei Zhang, Tiejun Li, Christof Schütte
In this paper, we consider the eigenvalue PDE problem of the infinitesimal generators of metastable diffusion processes. We propose a numerical algorithm based on training artifici…
math.OC2021★ 1 cited
Global Solutions of Stochastic Stackelberg Differential Games under Convex Control Constraint
Liangquan Zhang, Wei Zhang
This paper is concerned with a Stackelberg stochastic differential game, where the systems are driven by stochastic differential equation (SDE for short), in which the control ente…