Project Title

FBSDE_NN_solver

Description

• A Jax implementation of the neural network FBSDE solver for high-dimensional semi-linear PDEs.

Dependencies

• The implementation is built on Jax and NumPy libraries

Installing

• Jax installation instructions can be found here: https://github.com/google/jax

Executing program

• The code is functional style so each script is self-contained and will run in isolation, for example:

python3 FBSDE_NN.py

Authors

Contributor name and contact info

• James Rowbottom
• [email protected]