Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userA Fully Quantization-based Scheme for FBSDEs
85
0
0.0
(
0
)
Added by
Alessandro Gnoatto
Publication date
2021
fields
Informatics Engineering
and research's language is
English
Ask ChatGPT about the research
No Arabic abstract
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation for the computation of conditional expectations. We analyse in detail the numerical error of our scheme and we show through some examples the performance of the whole procedure, which proves to be very effective in view of financial applications.
rate research
Read More
We analyze the qualitative properties and the order of convergence of a splitting scheme for a class of nonlinear stochastic Schrodinger equations driven by additive It^o noise. The class of nonlinearities of interest includes nonlocal interaction cubic nonlinearities. We show that the numerical solution is symplectic and preserves the expected mass for all times. On top of that, for the convergence analysis, some exponential moment bounds for the exact and numerical solutions are proved. This enables us to provide strong orders of convergence as well as orders of convergence in probability and almost surely. Finally, extensive numerical experiments illustrate the performance of the proposed numerical scheme.
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new probabilistic learning scheme for solving high-dimensional semi-linear parabolic PDEs. This scheme is inspired by the approach coming from machine learning and developed using deep neural networks in Han and al. [32]. Our algorithm is based on a Picard iteration scheme in which a sequence of linear-quadratic optimisation problem is solved by means of stochastic gradient descent (SGD) algorithm. In the framework of a linear specification of the approximation space, we manage to prove a convergence result for our scheme, under some smallness condition. In practice, in order to be able to treat high-dimensional examples, we employ sparse grid approximation spaces. In the case of periodic coefficients and using pre-wavelet basis functions, we obtain an upper bound on the global complexity of our method. It shows in particular that the curse of dimensionality is tamed in the sense that in order to achieve a root mean squared error of order ${epsilon}$, for a prescribed precision ${epsilon}$, the complexity of the Picard algorithm grows polynomially in ${epsilon}^{-1}$ up to some logarithmic factor $ |log({epsilon})| $ which grows linearly with respect to the PDE dimension. Various numerical results are presented to validate the performance of our method and to compare them with some recent machine learning schemes proposed in Han and al. [20] and Hure and al. [37].
In silico models of cardiac electromechanics couple together mathematical models describing different physics. One instance is represented by the model describing the generation of active force, coupled with the one of tissue mechanics. For the numerical solution of the coupled model, partitioned schemes, that foresee the sequential solution of the two subproblems, are often used. However, this approach may be unstable. For this reason, the coupled model is commonly solved as a unique system using Newton type algorithms, at the price, however, of high computational costs. In light of this motivation, in this paper we propose a new numerical scheme, that is numerically stable and accurate, yet within a fully partitioned (i.e. segregated) framework. Specifically, we introduce, with respect to standard segregated scheme, a numerically consistent stabilization term, capable of removing the nonphysical oscillations otherwise present in the numerical solution of the commonly used segregated scheme. Our new method is derived moving from a physics-based analysis on the microscale energetics of the force generation dynamics. By considering a model problem of active mechanics we prove that the proposed scheme is unconditionally absolutely stable (i.e. it is stable for any time step size), unlike the standard segregated scheme, and we also provide an interpretation of the scheme as a fractional step method. We show, by means of several numerical tests, that the proposed stabilization term successfully removes the nonphysical numerical oscillations characterizing the non stabilized segregated scheme solution. Our numerical tests are carried out for several force generation models available in the literature, namely the Niederer-Hunter-Smith model, the model by Land and coworkers, and the mean-field force generation model that we have recently proposed. Finally, we apply the proposed scheme [...]
We analyse a splitting integrator for the time discretization of the Schrodinger equation with nonlocal interaction cubic nonlinearity and white noise dispersion. We prove that this time integrator has order of convergence one in the $p$-th mean sense, for any $pgeq1$ in some Sobolev spaces. We prove that the splitting schemes preserves the $L^2$-norm, which is a crucial property for the proof of the strong convergence result. Finally, numerical experiments illustrate the performance of the proposed numerical scheme.
Recently, the deep learning method has been used for solving forward-backward stochastic differential equations (FBSDEs) and parabolic partial differential equations (PDEs). It has good accuracy and performance for high-dimensional problems. In this paper, we mainly solve fully coupled FBSDEs through deep learning and provide three algorithms. Several numerical results show remarkable performance especially for high-dimensional cases.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
