Markus Dablander

Numerically Solving Parametric Families of High-Dimensional Kolmogorov Partial Differential Equations via Deep Learning

We present a deep learning algorithm for the numerical solution of parametric families of high-dimensional linear Kolmogorov partial differential equations (PDEs). Our method is based on reformulating the numerical approximation of a whole family of Kolmogorov PDEs as a single statistical learning p…