Stationary Density Estimation of Itô Diffusions Using Deep Learning-Reference-Cited by-同舟云学术

Stationary Density Estimation of Itô Diffusions Using Deep Learning

Published:2023-02-03 Issue:1 Volume:61 Page:45-82
ISSN:0036-1429
Container-title:SIAM Journal on Numerical Analysis
language:en
Short-container-title:SIAM J. Numer. Anal.

Author:

Gu Yiqi¹,Harlim John²,Liang Senwei³^ORCID,Yang Haizhao⁴

Affiliation:

1. Department of Mathematics, National University of Singapore, 10 Lower Kent Ridge Road, Queenstown, 119076 Singapore.

2. Department of Mathematics, Department of Meteorology and Atmospheric Science, Institute for Computational and Data Sciences, The Pennsylvania State University, University Park, PA 16802 USA.

3. Corresponding author. Department of Mathematics, Purdue University, West Lafayette, IN 47907 USA.

4. Department of Mathematics, University of Maryland, College Park, MD 20742 USA.

Funder

Office of Naval Research

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Numerical Analysis,Applied Mathematics,Computational Mathematics

Reference61 articles.

1. Neural Network Learning

2. Numerical solution of systems of stochastic differential equations

3. Universal approximation bounds for superpositions of a sigmoidal function

4. Nonlinear mean field Fokker-Planck equations. Application to the chemotaxis of biological populations

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