most citedFrom continuous-time formulations to discretization schemes: tensor trains and robust regression for BSDEs and parabolic PDEs

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cs.LG2023★ 1 cited

From continuous-time formulations to discretization schemes: tensor trains and robust regression for BSDEs and parabolic PDEs

Lorenz Richter, Leon Sallandt, Nikolas Nüsken

The numerical approximation of partial differential equations (PDEs) poses formidable challenges in high dimensions since classical grid-based methods suffer from the so-called cur…