# Error analysis for the deep Kolmogorov method

arXiv: https://arxiv.org/abs/2508.17167 · HTML: https://mlsanity.com/paper/2508.17167/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 61 of its 104 references that are in the map.
- First posted on arXiv 23 Aug 2025.

## Builds on (most cited first, 30 of 61)

- [DGM: A deep learning algorithm for solving partial differential equations](https://mlsanity.com/paper/1708.07469/) (2017)
- [Scientific Machine Learning through Physics-Informed Neural Networks: Where we are and What's next](https://mlsanity.com/paper/2201.05624/) (2022)
- [The Deep Ritz method: A deep learning-based numerical algorithm for solving variational problems](https://mlsanity.com/paper/1710.00211/) (2017)
- [Error bounds for approximations with deep ReLU networks](https://mlsanity.com/paper/1610.01145/) (2016)
- [Solving high-dimensional partial differential equations using deep learning](https://mlsanity.com/paper/1707.02568/) (2017)
- [Physics-informed neural networks (PINNs) for fluid mechanics: A review](https://mlsanity.com/paper/2105.09506/) (2021)
- [Nonparametric regression using deep neural networks with ReLU activation function](https://mlsanity.com/paper/1708.06633/) (2017)
- [Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations](https://mlsanity.com/paper/1706.04702/) (2017)
- [Optimal approximation of piecewise smooth functions using deep ReLU neural networks](https://mlsanity.com/paper/1709.05289/) (2017)
- [Deep Network Approximation for Smooth Functions](https://mlsanity.com/paper/2001.03040/) (2020)
- [Estimates on the generalization error of Physics Informed Neural Networks (PINNs) for approximating PDEs](https://mlsanity.com/paper/2006.16144/) (2020)
- [Error bounds for approximations with deep ReLU neural networks in Ws,p norms](https://mlsanity.com/paper/1902.07896/) (2019)
- [Tackling the Curse of Dimensionality with Physics-Informed Neural Networks](https://mlsanity.com/paper/2307.12306/) (2023)
- [Algorithms for Solving High Dimensional PDEs: From Nonlinear Monte Carlo to Machine Learning](https://mlsanity.com/paper/2008.13333/) (2020)
- [A Theoretical Analysis of Deep Neural Networks and Parametric PDEs](https://mlsanity.com/paper/1904.00377/) (2019)
- [An overview on deep learning-based approximation methods for partial differential equations](https://mlsanity.com/paper/2012.12348/) (2020)
- [A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations](https://mlsanity.com/paper/1809.02362/) (2018)
- [Deep splitting method for parabolic PDEs](https://mlsanity.com/paper/1907.03452/) (2019)
- [Approximation spaces of deep neural networks](https://mlsanity.com/paper/1905.01208/) (2019)
- [Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black-Scholes Partial Differential Equations](https://mlsanity.com/paper/1809.03062/) (2018)
- [Convergence of the Deep BSDE Method for Coupled FBSDEs](https://mlsanity.com/paper/1811.01165/) (2018)
- [Solving the Kolmogorov PDE by means of deep learning](https://mlsanity.com/paper/1806.00421/) (2018)
- [Two-Layer Neural Networks for Partial Differential Equations: Optimization and Generalization Theory](https://mlsanity.com/paper/2006.15733/) (2020)
- [Numerical analysis of physics-informed neural networks and related models in physics-informed machine learning](https://mlsanity.com/paper/2402.10926/) (2024)
- [Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II -- The Finite Horizon Case](https://mlsanity.com/paper/1908.01613/) (2019)
- [Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality](https://mlsanity.com/paper/2106.08900/) (2021)
- [Expressivity of Deep Neural Networks](https://mlsanity.com/paper/2007.04759/) (2020)
- [Machine Learning for semi linear PDEs](https://mlsanity.com/paper/1809.07609/) (2018)
- [Neural networks-based algorithms for stochastic control and PDEs in finance](https://mlsanity.com/paper/2101.08068/) (2021)
- [Recent Developments in Machine Learning Methods for Stochastic Control and Games](https://mlsanity.com/paper/2303.10257/) (2023)

## Abstract (arXiv)

The deep Kolmogorov method is a simple and popular deep learning based method for approximating solutions of partial differential equations (PDEs) of the Kolmogorov type. In this work we provide an error analysis for the deep Kolmogorov method for heat PDEs. Specifically, we reveal convergence with convergence rates for the overall mean square distance between the exact solution of the heat PDE and the realization function of the approximating deep neural network (DNN) associated with a stochastic optimization algorithm in terms of the size of the architecture (the depth/number of hidden layers and the width of the hidden layers) of the approximating DNN, in terms of the number of random sample points used in the loss function (the number of input-output data pairs used in the loss function), and in terms of the size of the optimization error made by the employed stochastic optimization method.