Solve High-Dimensional Reflected Partial Differential Equations by Neural Network Method

Abstract

Reflected partial differential equations (PDEs) have important applications in financial mathematics, stochastic control, physics, and engineering. This paper aims to present a numerical method for solving high-dimensional reflected PDEs. In fact, overcoming the “dimensional curse” and approximating the reflection term are challenges. Some numerical algorithms based on neural networks developed recently fail in solving high-dimensional reflected PDEs. To solve these problems, firstly, the reflected PDEs are transformed into reflected backward stochastic differential equations (BSDEs) using the reflected Feyman–Kac formula. Secondly, the reflection term of the reflected BSDEs is approximated using the penalization method. Next, the BSDEs are discretized using a strategy that combines Euler and Crank–Nicolson schemes. Finally, a deep neural network model is employed to simulate the solution of the BSDEs. The effectiveness of the proposed method is tested by two numerical experiments, and the model shows high stability and accuracy in solving reflected PDEs of up to 100 dimensions.