Temporal Difference Learning for High-Dimensional PIDEs with Jumps-Reference-Cited by-同舟云学术

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Temporal Difference Learning for High-Dimensional PIDEs with Jumps

Published:2024-07-18 Issue:4 Volume:46 Page:C349-C368
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Lu Liwei¹,Guo Hailong²^ORCID,Yang Xu³^ORCID,Zhu Yi⁴^ORCID

Affiliation:

1. Yau Mathematical Sciences Center, Tsinghua University, Beijing, 100084, China.

2. School of Mathematics and Statistics, The University of Melbourne, Parkville, VIC 3010, Australia.

3. Department of Mathematics, University of California, Santa Barbara, CA 93106 USA.

4. Corresponding author. Yau Mathematical Sciences Center, Tsinghua University, Beijing, 100084, China, and Beijing Institute of Mathematical Sciences and Applications, Beijing, 101408, China.

Funder

National Key Research and Development Program of China Stem Cell and Translational Research

Andrew Sisson Fund

Dyason Fellowship

University of Melbourne

National Natural Science Foundation of China

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference32 articles.

1. A nonlinear partial integro-differential equation from mathematical finance

2. Lévy Processes and Stochastic Calculus

3. Physics-informed neural networks (PINNs) for fluid mechanics: a review

4. Deep learning schemes for parabolic nonlocal integro-differential equations

5. CAN-PINN: A fast physics-informed neural network based on coupled-automatic–numerical differentiation method

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