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high-dimensional semilinear pde solver using deep bsde algorithm #9

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high-dimensional semilinear pde solver using deep bsde algorithm #9

wants to merge 4 commits into from

Commits on Jun 24, 2019

  1. prototype of one-dimensional pde solver using deep bsde algorithm

    @KirillZubov
    KirillZubov committed Jun 24, 2019
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Commits on Jul 4, 2019

  1. fixed some problems of the algorithm 

    added test cases
    @KirillZubov
    KirillZubov committed Jul 4, 2019
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Commits on Jul 10, 2019

  1. added support for high-dimensions cases

    @KirillZubov
    KirillZubov committed Jul 10, 2019
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Commits on Jul 15, 2019

  1. -added test case the Black-Scholes-Barenblatt equation 

    -fixed the mistake with the neural network
-fixed the mistake with dimensional of  Brownian  motion process
    @KirillZubov
    KirillZubov committed Jul 15, 2019
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