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math.PR2017
Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem
Justin Sirignano, Konstantinos Spiliopoulos
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in…
q-fin.MF2017★ 2.3k cited
DGM: A deep learning algorithm for solving partial differential equations
Justin Sirignano, Konstantinos Spiliopoulos
High-dimensional PDEs have been a longstanding computational challenge. We propose to solve high-dimensional PDEs by approximating the solution with a deep neural network which is…