Fetching the paper…
Reading the bibliography…
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering.
Conjugate convex functions in optimal stochastic control
Bismut, J.-M · 1973
Earlier work this paper cites.
Adapted solution of a backward stochastic differential equation
Pardoux, E. and Peng, S · 1990
Earlier work this paper cites.
Topics in propagation of chaos
Sznitman, A.-S · 1991
Earlier work this paper cites.
Stochastic differential equations
Kloeden, P. E. and Platen, E · 1992
Earlier work this paper cites.
Brownian Motion and Stochastic Calculus
Karatzas, I. and Shreve, S. E · 1998
Earlier work this paper cites.
Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order
Pardoux, É · 1998
Earlier work this paper cites.
Valuing American options by simulation: a simple least-squares approach
Longstaff, F. A. and Schwartz, E. S · 2001
Earlier work this paper cites.
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Bouchard, B. and Touzi, N · 2004
Earlier work this paper cites.
A numerical scheme for BSDEs
Zhang, J · 2004
Earlier work this paper cites.
A regression-based Monte Carlo method to solve backward stochastic differential equations
Gobet, E., Lemor, J.-P., Warin, X., et al · 2005
Earlier work this paper cites.
Controlled Markov processes and viscosity solutions , volume 25
Fleming, W. H. and Soner, H. M · 2006
Earlier work this paper cites.
Forward-backward SDEs and the CIR model
Hyndman, C. B · 2007
Earlier work this paper cites.
A new scheme for the tensor representation
Hackbusch, W. and Kühn, S · 2009
Earlier work this paper cites.
Breaking the curse of dimensionality, or how to use SVD in many dimensions
Oseledets, I. V. and Tyrtyshnikov, E. E · 2009
Earlier work this paper cites.
Continuous-time stochastic control and optimization with financial applications , volume 61
Pham, H · 2009
Earlier work this paper cites.
Tensor products of Sobolev-Besov spaces and applications to approximation from the hyperbolic cross
Sickel, W. and Ullrich, T · 2009
Earlier work this paper cites.
Tensor-train decomposition
Oseledets, I. V · 2011
Earlier work this paper cites.
Fast solution of parabolic problems in the tensor train/quantized tensor train format with initial application to the Fokker–Planck equation
Dolgov, S. V., Khoromskij, B. N., and Oseledets, I. V · 2012
Earlier work this paper cites.
Deterministic and stochastic optimal control , volume 1
Fleming, W. H. and Rishel, R. W · 2012
Earlier work this paper cites.
Low-rank explicit QTT representation of the laplace operator and its inverse
Kazeev, V. A. and Khoromskij, B. N · 2012
Earlier work this paper cites.
Tensors-structured numerical methods in scientific computing: Survey on recent advances
Khoromskij, B. N · 2012
Earlier work this paper cites.
Tensors: geometry and applications
Landsberg, J. M · 2012
Earlier work this paper cites.
Linear multistep schemes for bsdes
Chassagneux, J.-F · 2014
Cited alongside, same era.
Second order discretization of backward sdes and simulation with the cubature method
Crisan, D., Manolarakis, K., et al · 2014
Cited alongside, same era.
Numerical tensor calculus
Hackbusch, W · 2014
Cited alongside, same era.
Tensor Spaces and Hierarchical Tensor Representations
Hackbusch, W. and Schneider, R · 2014
Cited alongside, same era.
Linear hamilton jacobi bellman equations in high dimensions
Horowitz, M. B., Damle, A., and Burdick, J. W · 2014
Cited alongside, same era.
Adam: A method for stochastic optimization
Kingma, D. P. and Ba, J · 2014
Cited alongside, same era.
High-dimensional stochastic optimal control using continuous tensor decompositions
Gorodetsky, A., Karaman, S., and Marzouk, Y · 2018
Later among the works it cites.
Jentzen, A., Salimova, D., and Welti, T · 2018
Later among the works it cites.
Tangent cones to tensor train varieties
Kutschan, B · 2018
Later among the works it cites.
Multigrid renormalization
Lubasch, M., Moinier, P., and Jaksch, D · 2018
Later among the works it cites.
DGM: A deep learning algorithm for solving partial differential equations
Sirignano, J. and Spiliopoulos, K · 2018
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Affine diffusions and related processes: simulation, theory and applications , volume 6
Alfonsi, A. et al · 2015
Cited alongside, same era.
Polynomial chaos expansion of random coefficients and the solution of stochastic partial differential equations in the tensor train format
Dolgov, S., Khoromskij, B. N., Litvinenko, A., and Matthies, H. G · 2015
Cited alongside, same era.
A semi-Lagrangian Vlasov solver in tensor train format
Kormann, K · 2015
Cited alongside, same era.
Tensor product methods and entanglement optimization for ab initio quantum chemistry
Szalay, S., Pfeffer, M., Murg, V., Barcza, G., Verstraete, F., Schneider, R., and Örs Legeza · 2015
Cited alongside, same era.
High-performance tensor contractions for GPUs
Abdelfattah, A., Baboulin, M., Dobrev, V., Dongarra, J., Earl, C., Falcou, J., Haidar, A., Karlin, I., Kolev, T., Masliah, I., et al · 2016
Cited alongside, same era.
Tensor networks and hierarchical tensors for the solution of high-dimensional partial differential equations
Bachmayr, M., Schneider, R., and Uschmajew, A · 2016
Cited alongside, same era.
Beck, C., Becker, S., Cheridito, P., Jentzen, A., and Neufeld, A · 2019
Later among the works it cites.
Tensor decompositions for high-dimensional Hamilton-Jacobi-Bellman equations
Dolgov, S., Kalise, D., and Kunisch, K · 2019
Later among the works it cites.
On multilevel picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T · 2019
Later among the works it cites.
Stable als approximation in the tt-format for rank-adaptive tensor completion
Grasedyck, L. and Krämer, S · 2019
Later among the works it cites.
Variational approach to rare event simulation using least-squares regression
Hartmann, C., Kebiri, O., Neureither, L., and Richter, L · 2019
Later among the works it cites.
Approximating the stationary Hamilton-Jacobi-Bellman equation by hierarchical tensor products
Oster, M., Sallandt, L., and Schneider, R · 2019
Later among the works it cites.
Physics-informed neural networks: A deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
Raissi, M., Perdikaris, P., and Karniadakis, G. E · 2019
Later among the works it cites.
Rank-adaptive tensor methods for high-dimensional nonlinear pdes
Dektor, A., Rodgers, A., and Venturi, D · 2020
Later among the works it cites.
Fackeldey, K., Oster, M., Sallandt, L., and Schneider, R · 2020
Later among the works it cites.
Array programming with NumPy
Harris, C. R., Millman, K. J., van der Walt, S. J., Gommers, R., Virtanen, P., Cournapeau, D., Wieser, E., Taylor, J., Berg, S., Smith, N. J., Kern, R., Picus, M., Hoyer, S., van Kerkwijk, M. H., Brett, M., Haldane, A., del R’ıo, J. F., Wiebe, M., Peterson, P., G’erard-Marchant, P., Sheppard, K., Reddy, T., Weckesser, W., Abbasi, H., Gohlke, C., and Oliphant, T. E · 2020
Later among the works it cites.
Deep backward schemes for high-dimensional nonlinear PDEs
Huré, C., Pham, H., and Warin, X · 2020
Later among the works it cites.
Macris, N. and Marino, R · 2020
Later among the works it cites.
Nüsken, N. and Richter, L · 2020
Later among the works it cites.
Pricing high-dimensional bermudan options with hierarchical tensor formats
Bayer, C., Eigel, M., Sallandt, L., and Trunschke, P · 2021
Closest in time.
Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically
Chen, Y. and Lu, Z · 2021
Closest in time.
Nonasymptotic bounds for suboptimal importance sampling
Hartmann, C. and Richter, L · 2021
Closest in time.
Convergence of the deep BSDE method for FBSDEs with non-lipschitz coefficients
Jiang, Y. and Li, J · 2021
Closest in time.