math.NA · 2026-06-24 · No. 33
Numerical Analysis, 2026-06-24.
2 new papers in math.NA. Titles, authors,
abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →
01 — The papers
2 entries-
01
Dirac-Frenkel dynamics with inertia for nonlinearly parametrized solutions of evolution problems
Matteo Raviola, Benjamin Peherstorfer
math.NA · cs.LG
Even when Dirac-Frenkel dynamics determine a well-defined evolution in function space, the corresponding parameter dynamics can be non-unique or ill-conditioned for redundant nonlinear parametrizations such as neural networks or mixture models. We propose to add inertia to the Dirac-Frenkel dynamics and show that this allows useful parameter velocity information to persist from the past trajectory in directions that are weakly informed, while...
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02
Deep numerical schemes for systems of Ergodic BSDEs with applications to regime-switching forward utilities
Guillaume Broux-Quemerais, Sarah Kaakai, Anis Matoussi, Wissal Sabbagh
math.NA · cs.LG · math.PR
In this paper, we introduce two neural-network-based numerical schemes for solving systems of coupled ergodic Backward Stochastic Differential Equations (eBSDEs), motivated by the approximation of optimal strategies within the framework of forward utilities in a regime-switching stochastic factor model. Our approach builds on the representation of such models through systems of eBSDEs introduced in [HLT20]. We first establish a link between...
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