Martin Hutzenthaler

Martin Hutzenthaler
University of Duisburg-Essen | uni-due · Faculty of Mathematics

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137
Publications
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2,040
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Publications

Publications (137)
Article
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. BSDEs in applications are often nonlinear and high-dimensional. In nearly all cases such nonlinear high-dimensional BSDEs cannot be solved explicitly and it has been and still is a very ac...
Preprint
We derive a stochastic Gronwall lemma with suprema over the paths in the upper bound of the assumed affine-linear growth assumption. This allows applications to It\^o processes with coefficients which depend on earlier time points such as stochastic delay equations or Euler-type approximations of stochastic differential equations. We apply our stoc...
Preprint
We prove that deep neural networks are capable of approximating solutions of semilinear Kolmogorov PDE in the case of gradient-independent, Lipschitz-continuous nonlinearities, while the required number of parameters in the networks grow at most polynomially in both dimension $d \in \mathbb{N}$ and prescribed reciprocal accuracy $\varepsilon$. Prev...
Article
Classical approximation results for stochastic differential equations analyze the Lp-distance between the exact solution and its Euler–Maruyama approximations. In this article we measure the error with temporal-spatial Hölder-norms. Our motivation for this are multigrid approximations of the exact solution viewed as a function of the starting point...
Article
The full history recursive multilevel Picard approximation method for semilinear parabolic partial differential equations (PDEs) is the only method which provably overcomes the curse of dimensionality for general time horizons if the coefficient functions and the nonlinearity are globally Lipschitz continuous and the nonlinearity is gradient-indepe...
Preprint
In this article we propose a new explicit Euler-type approximation method for stochastic differential equations (SDEs). In this method, Brownian increments in the recursion of the Euler method are replaced by suitable bounded functions of the Brownian increments. We prove strong convergence rate one-half for a large class of SDEs with polynomial co...
Preprint
Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE solution. Recently, Hutzenthaler et al. (arXiv:2108.10602) introduced a new approximation method for BSDEs wh...
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In this book we establish under suitable assumptions the uniqueness and existence of viscosity solutions of Kolmogorov backward equations for stochastic partial differential equations (SPDEs). In addition, we show that this solution is the semigroup of the corresponding SPDE. This generalizes the Feynman-Kac formula to SPDEs and establishes a link...
Preprint
The full history recursive multilevel Picard approximation method for semilinear parabolic partial differential equations (PDEs) is the only method which provably overcomes the curse of dimensionality for general time horizons if the coefficient functions and the nonlinearity are globally Lipschitz continuous and the nonlinearity is gradient-indepe...
Preprint
Full-text available
In many numerical simulations stochastic gradient descent (SGD) type optimization methods perform very effectively in the training of deep neural networks (DNNs) but till this day it remains an open problem of research to provide a mathematical convergence analysis which rigorously explains the success of SGD type optimization methods in the traini...
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We introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate combination of the Feynman–Kac and the Bismut–Elworthy–Li formulas, and an approximate decomposition of the Picard fix...
Preprint
Classical approximation results for stochastic differential equations analyze the $L^p$-distance between the exact solution and its Euler-Maruyama approximations. In this article we measure the error with temporal-spatial H\"older-norms. Our motivation for this are multigrid approximations of the exact solution viewed as a function of the starting...
Preprint
Full-text available
Full-history recursive multilevel Picard (MLP) approximation schemes have been shown to overcome the curse of dimensionality in the numerical approximation of high-dimensional semilinear partial differential equations (PDEs) with general time horizons and Lipschitz continuous nonlinearities. However, each of the error analyses for MLP approximation...
Article
In the literature there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order 3. In this article we introduce full-history recursive multilevel Picard approximations for McKean-Vlasov stochastic differential equations. We prove that these MLP approximations have computational effo...
Preprint
Full-text available
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. BSDEs in applications are often nonlinear and high-dimensional. In nearly all cases such nonlinear high-dimensional BSDEs cannot be solved explicitly and it has been and still is a very ac...
Preprint
It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearity converge at least exponentially fast to the solution. In this paper we prove that this convergence is in fact at least square-root factorially fast. We show for one example t...
Article
Full-text available
The classical Feynman–Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the derivation of sampling based Monte Carlo approximation methods, which can be meshfree and thereby stand a chan...
Article
Full-text available
Partial differential equations (PDEs) are a fundamental tool in the modeling of many real-world phenomena. In a number of such real-world phenomena the PDEs under consideration contain gradient-dependent nonlinearities and are high-dimensional. Such high-dimensional nonlinear PDEs can in nearly all cases not be solved explicitly, and it is one of t...
Preprint
In the literatur there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order $3$. In this article we introduce full-history recursive multilevel Picard (MLP) approximations for McKean-Vlasov stochastic differential equations. We prove that these MLP approximations have computation...
Preprint
Full-text available
We consider ordinary differential equations (ODEs) which involve expectations of a random variable. These ODEs are special cases of McKean-Vlasov stochastic differential equations (SDEs). A plain vanilla Monte Carlo approximation method for such ODEs requires a computational cost of order $\varepsilon^{-3}$ to achieve a root-mean-square error of si...
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It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). Recently, several deep learning-based approximation algorithms for attacking this problem have been proposed and tested numerically on a number of examples of high-dimensional PDEs. This has given rise t...
Article
Full-text available
One of the most challenging problems in applied mathematics is the approximate solution of nonlinear partial differential equations (PDEs) in high dimensions. Standard deterministic approximation methods like finite differences or finite elements suffer from the curse of dimensionality in the sense that the computational effort grows exponentially...
Preprint
Full-text available
The recently introduced full-history recursive multilevel Picard (MLP) approximation methods have turned out to be quite successful in the numerical approximation of solutions of high-dimensional nonlinear PDEs. In particular, there are mathematical convergence results in the literature which prove that MLP approximation methods do overcome the cur...
Preprint
Full-text available
One of the most challenging issues in applied mathematics is to develop and analyze algorithms which are able to approximately compute solutions of high-dimensional nonlinear partial differential equations (PDEs). In particular, it is very hard to develop approximation algorithms which do not suffer under the curse of dimensionality in the sense th...
Article
Full-text available
Deep neural networks and other deep learning methods have very successfully been applied to the numerical approximation of high-dimensional nonlinear parabolic partial differential equations (PDEs), which are widely used in finance, engineering, and natural sciences. In particular, simulations indicate that algorithms based on deep learning overcom...
Preprint
Full-text available
The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the derivation of sampling based Monte Carlo approximation methods, which can be meshfree and thereby stand a chan...
Preprint
Full-text available
Partial differential equations (PDEs) are a fundamental tool in the modeling of many real world phenomena. In a number of such real world phenomena the PDEs under consideration contain gradient-dependent nonlinearities and are high-dimensional. Such high-dimensional nonlinear PDEs can in nearly all cases not be solved explicitly and it is one of th...
Preprint
Full-text available
The main result of this article establishes strong convergence rates on the whole probability space for explicit space-time discrete numerical approximations for a class of stochastic evolution equations with possibly non-globally monotone coefficients such as stochastic Burgers equations with additive trace-class noise. The key idea in the proof o...
Preprint
We model natural selection for or against an altruistic defense allele of a host (or prey) against a parasite (or predator). The populations are structured in demes and we specify rates for birth, death, and migration events of single individuals.The defense behavior has a fitness cost for the actor and locally reduces parasite growth rates. In a p...
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The Feynman-Kac formula implies that every suitable classical solution of a semilinear Kolmogorov partial differential equation (PDE) is also a solution of a certain stochastic fixed point equation (SFPE). In this article we study such and related SFPEs. In particular, the main result of this work proves existence of unique solutions of certain SFP...
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Full-text available
One of the most challenging problems in applied mathematics is the approximate solution of nonlinear partial differential equations (PDEs) in high dimensions. Standard deterministic approximation methods like finite differences or finite elements suffer from the curse of dimensionality in the sense that the computational effort grows exponentially...
Article
Full-text available
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental tools in the state-of-the-art pricing and hedging of financial derivatives. The PDEs and BSDEs appearing in suc...
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Spatial differentiability of solutions of stochastic differential equations (SDEs) is required for the It\^o-Alekseev-Gr\"obner formula and other applications. In the literature, this differentiability is only derived if the coefficient functions of the SDE have bounded derivatives and this property is rarely satisfied in applications. In this arti...
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There are numerous applications of the classical (deterministic) Gronwall inequality. Recently, Michael Scheutzow has discovered a stochastic Gronwall inequality which provides upper bounds for the $p$-th moments, $p\in(0,1)$, of the supremum of nonnegative scalar continuous processes which satisfy a linear integral inequality. In this article we c...
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The explicit Euler scheme and similar explicit approximation schemes (such as the Milstein scheme) are known to diverge strongly and numerically weakly in the case of one-dimensional stochastic ordinary differential equations with superlinearly growing nonlinearities. It remained an open question whether such a divergence phenomenon also holds in t...
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Parabolic partial differential equations (PDEs) are widely used in the mathematical modeling of natural phenomena and man made complex systems. In particular, parabolic PDEs are a fundamental tool to determine fair prices of financial derivatives in the financial industry. The PDEs appearing in financial engineering applications are often nonlinear...
Preprint
Full-text available
Deep neural networks and other deep learning methods have very successfully been applied to the numerical approximation of high-dimensional nonlinear parabolic partial differential equations (PDEs), which are widely used in finance, engineering, and natural sciences. In particular, simulations indicate that algorithms based on deep learning overcom...
Preprint
Full-text available
In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an It\^o process. The introduced formula essentially generalizes both the classical Alekseev-Gr\"obner formula from the literature on deterministic differential equations as well as the c...
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For a long time it is well-known that high-dimensional linear parabolic partial differential equations (PDEs) can be approximated by Monte Carlo methods with a computational effort which grows polynomially both in the dimension and in the reciprocal of the prescribed accuracy. In other words, linear PDEs do not suffer from the curse of dimensionali...
Article
Full-text available
For a long time it is well-known that high-dimensional linear parabolic partial differential equations (PDEs) can be approximated by Monte Carlo methods with a computational effort which grows polynomially both in the dimension and in the reciprocal of the prescribed accuracy. In other words, linear PDEs do not suffer from the curse of dimen-sional...
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Propagation of chaos is a well-studied phenomenon and shows that weakly interacting diffusions may become independent as the system size converges to infinity. Most of the literature focuses on the case of exchangeable systems where all involved diffusions have the same distribution and are "of the same size". In this paper, we analyze the case whe...
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Differentiability of semigroups is useful for many applications. Here we focus on stochastic differential equations whose diffusion coefficient is the square root of a differentiable function but not differentiable itself. For every $m\in\{0,1,2\}$ we establish an upper bound for a $C^m$-norm of the semigroup of such a diffusion in terms of the $C^...
Article
Full-text available
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) have a wide range of applications. In particular, high-dimensional PDEs with gradient-dependent nonlinearities appear often in the state-of-the-art pricing and hedging of financial derivatives. In this article we prove that semilinear heat equatio...
Article
Full-text available
We introduce, for the first time, a family of algorithms for solving general high-dimensional nonlinear parabolic partial differential equations with a polynomial complexity in both the dimensionality and the reciprocal of the accuracy requirement. The algorithm is obtained through a delicate combination of the Feynman-Kac and the Bismut-Elworthy-L...
Article
Full-text available
We show that if a sequence of piecewise affine linear processes converges in the strong sense with a positive rate to a stochastic process which is strongly H\"older continuous in time, then this sequence converges in the strong sense even with respect to much stronger H\"older norms and the convergence rate is essentially reduced by the H\"older e...
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This article introduces and analyzes a new explicit, easily implementable, and full discrete accelerated exponential Euler-type approximation scheme for additive space-time white noise driven stochastic partial differential equations (SPDEs) with possibly non-globally monotone nonlinearities such as stochastic Kuramoto-Sivashinsky equations. The ma...
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We propose a model for the frequency of an altruistic defense trait. More precisely, we consider Lotka-Volterra-type models involving a host/prey population consisting of two types and a parasite/predator population where one type of host individuals (modeling carriers of a defense trait) is more effective in defending against the parasite but has...
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Let $Z = (Z_t)_{t\in[0,\infty)}$ be an ergodic Markov process and, for $n\in\mathbb{N}$, let $Z^n = (Z_{n^2 t})_{t\in[0,\infty)}$ drive a process $X^n$. Classical results show under suitable conditions that the sequence of non-Markovian processes $(X^n)_{n\in\mathbb{N}}$ converges to a Markov process and give its infinitesimal characteristics. Here...
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Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes are mathematically interesting due to the irregular square root function in the diffusion coefficient. In the literature, positive strong convergence rates for numerical...
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We develope a perturbation theory for stochastic differential equations (SDEs) by which we mean both stochastic ordinary differential equations (SODEs) and stochastic partial differential equations (SPDEs). In particular, we estimate the $ L^p $-distance between the solution process of an SDE and an arbitrary It\^o process, which we view as a pertu...
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Exponential integrability properties of numerical approximations are a key tool towards establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations; cf. Cox et al. [3]. It turns out that well-known numerical approximation processes such as Euler-Maruyama approximations, lin...
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Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong L^p-sense with respect to the initial value for every p \in [1,\infty). In this article we provide sufficient conditions on the coefficient...
Article
Species introductions to new habitats can cause a decline in the population size of competing native species and consequently also in their genetic diversity. We are interested in why these adverse effects are weak in some cases whereas in others the native species declines to the point of extinction. While the introduction rate and the growth rate...
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The celebrated Hoermander condition is a sufficient (and nearly necessary) condition for a second-order linear Kolmogorov partial differential equation (PDE) with smooth coefficients to be hypoelliptic. As a consequence, the solutions of Kolmogorov PDEs are smooth at all positive times if the coefficients of the PDE are smooth and satisfy Hoermande...
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Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying...
Article
Norovirus has become an important cause for infectious gastroenteritis. Particularly genotype II.4 (GII.4) has been shown to spread rapidly and causes worldwide pandemics. Emerging new strains evade population immunity and lead to high norovirus prevalence. Chronic infections have been described recently and will become more prevalent with increasi...