Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes
This work provides an incremental improvement for researchers and practitioners who use deep learning to solve high-dimensional partial differential equations, particularly in fields like finance and physics.
This paper explores the use of deep learning to solve high-dimensional non-linear Kolmogorov equations, which are prevalent in various scientific and financial applications. By comparing different discretization schemes for the underlying stochastic differential equations, the authors demonstrate that certain schemes can improve solution accuracy without increasing computational complexity.
Non-linear partial differential Kolmogorov equations are successfully used to describe a wide range of time dependent phenomena, in natural sciences, engineering or even finance. For example, in physical systems, the Allen-Cahn equation describes pattern formation associated to phase transitions. In finance, instead, the Black-Scholes equation describes the evolution of the price of derivative investment instruments. Such modern applications often require to solve these equations in high-dimensional regimes in which classical approaches are ineffective. Recently, an interesting new approach based on deep learning has been introduced by E, Han, and Jentzen [1][2]. The main idea is to construct a deep network which is trained from the samples of discrete stochastic differential equations underlying Kolmogorov's equation. The network is able to approximate, numerically at least, the solutions of the Kolmogorov equation with polynomial complexity in whole spatial domains. In this contribution we study variants of the deep networks by using different discretizations schemes of the stochastic differential equation. We compare the performance of the associated networks, on benchmarked examples, and show that, for some discretization schemes, improvements in the accuracy are possible without affecting the observed computational complexity.