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math.NA2022★ 1 cited
A predictor-corrector deep learning algorithm for high dimensional stochastic partial differential equations
He Zhang, Ran Zhang, Tao Zhou
In this paper, we present a deep learning-based numerical method for approximating high dimensional stochastic partial differential equations (SPDEs). At each time step, our method…
math.NA2021★ 1 cited
Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Feng Bao, Yanzhao Cao, He Zhang
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backwa…