Numerical approximation based on deep convolutional neural network for high‐dimensional fully nonlinear merged PDEs and 2BSDEs

Abstract

This paper proposes two efficient approximation methods to solve high‐dimensional fully nonlinear partial differential equations (NPDEs) and second‐order backward stochastic differential equations (2BSDEs), where such high‐dimensional fully NPDEs are extremely difficult to solve because the computational cost of standard approximation methods grows exponentially with the number of dimensions. Therefore, we consider the following methods to overcome this difficulty. For the merged fully NPDEs and 2BSDEs system, combined with the time forward discretization and ReLU function, we use multiscale deep learning fusion and convolutional neural network (CNN) techniques to obtain two numerical approximation schemes, respectively. Finally, three practical high‐dimensional test problems involving Allen–Cahn, Black–Scholes–Barenblatt, and Hamilton–Jacobi–Bellman equations are given so that the first proposed method exhibits higher efficiency and accuracy than the existing method, while the second proposed method can extend the dimensionality of the completely NPDEs–2BSDEs system over 400 dimensions, from which the numerical results highlight the effectiveness of proposed methods.