A machine learning solver for high-dimensional integrals: Solving Kolmogorov PDEs by stochastic weighted minimization and stochastic gradient descent through a high-order weak approximation scheme of SDEs with Malliavin weights

Riu Naito, Toshihiro Yamada

The paper introduces a very simple and fast computation method for high-dimensional integrals to solve high-dimensional Kolmogorov partial differential equations (PDEs). The new ma…