most citedA new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver

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math.NA2021★ 22 cited

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver

Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada

This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs…