24 citations · 53 across the 26 of their papers we have counts for
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math.NA2022
Deep Runge-Kutta schemes for BSDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha
We propose a new probabilistic scheme which combines deep learning techniques with high order schemes for backward stochastic differential equations belonging to the class of Runge…
math.NA2021★ 1 cited
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha +1
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new prob…