# Deep Neural networks for solving high-dimensional parabolic partial differential equations

arXiv: https://arxiv.org/abs/2601.13256 · HTML: https://mlsanity.com/paper/2601.13256/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 30 of its 58 references that are in the map.
- First posted on arXiv 19 Jan 2026.

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

- [PyTorch: An Imperative Style, High-Performance Deep Learning Library](https://mlsanity.com/paper/1912.01703/) (2019)
- [Score-Based Generative Modeling through Stochastic Differential Equations](https://mlsanity.com/paper/2011.13456/) (2020)
- [DGM: A deep learning algorithm for solving partial differential equations](https://mlsanity.com/paper/1708.07469/) (2017)
- [The Deep Ritz method: A deep learning-based numerical algorithm for solving variational problems](https://mlsanity.com/paper/1710.00211/) (2017)
- [Solving high-dimensional partial differential equations using deep learning](https://mlsanity.com/paper/1707.02568/) (2017)
- [Estimates on the generalization error of Physics Informed Neural Networks (PINNs) for approximating PDEs](https://mlsanity.com/paper/2006.16144/) (2020)
- [Towards a Mathematical Understanding of Neural Network-Based Machine Learning: what we know and what we don't](https://mlsanity.com/paper/2009.10713/) (2020)
- [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)
- [Separable Physics-Informed Neural Networks](https://mlsanity.com/paper/2306.15969/) (2023)
- [Learning in Modal Space: Solving Time-Dependent Stochastic PDEs Using Physics-Informed Neural Networks](https://mlsanity.com/paper/1905.01205/) (2019)
- [When Do Extended Physics-Informed Neural Networks (XPINNs) Improve Generalization?](https://mlsanity.com/paper/2109.09444/) (2021)
- [Error analysis for physics informed neural networks (PINNs) approximating Kolmogorov PDEs](https://mlsanity.com/paper/2106.14473/) (2021)
- [Deep Learning Approximation for Stochastic Control Problems](https://mlsanity.com/paper/1611.07422/) (2016)
- [Forward-Backward Stochastic Neural Networks: Deep Learning of High-dimensional Partial Differential Equations](https://mlsanity.com/paper/1804.07010/) (2018)
- [Deep splitting method for parabolic PDEs](https://mlsanity.com/paper/1907.03452/) (2019)
- [Solving the Kolmogorov PDE by means of deep learning](https://mlsanity.com/paper/1806.00421/) (2018)
- [Solving high-dimensional eigenvalue problems using deep neural networks: A diffusion Monte Carlo like approach](https://mlsanity.com/paper/2002.02600/) (2020)
- [Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks](https://mlsanity.com/paper/2102.11379/) (2021)
- [Neural networks-based backward scheme for fully nonlinear PDEs](https://mlsanity.com/paper/1908.00412/) (2019)
- [Learning Physics-Informed Neural Networks without Stacked Back-propagation](https://mlsanity.com/paper/2202.09340/) (2022)
- [Hutchinson Trace Estimation for High-Dimensional and High-Order Physics-Informed Neural Networks](https://mlsanity.com/paper/2312.14499/) (2023)
- [Can Shallow Neural Networks Beat the Curse of Dimensionality? A mean field training perspective](https://mlsanity.com/paper/2005.10815/) (2020)
- [Interpolating between BSDEs and PINNs: deep learning for elliptic and parabolic boundary value problems](https://mlsanity.com/paper/2112.03749/) (2021)
- [Stochastic Taylor Derivative Estimator: Efficient amortization for arbitrary differential operators](https://mlsanity.com/paper/2412.00088/) (2024)
- [Bias-Variance Trade-off in Physics-Informed Neural Networks with Randomized Smoothing for High-Dimensional PDEs](https://mlsanity.com/paper/2311.15283/) (2023)
- [A Neural Network Approach for Stochastic Optimal Control](https://mlsanity.com/paper/2209.13104/) (2022)
- [DOF: Accelerating High-order Differential Operators with Forward Propagation](https://mlsanity.com/paper/2402.09730/) (2024)
- [A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations](https://mlsanity.com/paper/2404.08456/) (2024)
- [Martingale deep neural network for very high-dimensional stochastic optimal controls](https://mlsanity.com/paper/2408.14395/) (2024)

## Built on by (most cited first, 1 of 1)

- [A Zeroth-Order Deep Learning Method for Fully Nonlinear Parabolic Partial Differential Equations with Unknown Coefficients](https://mlsanity.com/paper/2606.24999/) (2026)

## Abstract (arXiv)

The numerical solution of high dimensional partial differential equations (PDEs) is severely constrained by the curse of dimensionality (CoD), rendering classical grid--based methods impractical beyond a few dimensions. In recent years, deep neural networks have emerged as a promising mesh free alternative, enabling the approximation of PDE solutions in tens to thousands of dimensions. This review provides a tutorial--oriented introduction to neural--network--based methods for solving high dimensional parabolic PDEs, emphasizing conceptual clarity and methodological connections. We organize the literature around three unifying paradigms: (i) PDE residual--based approaches, including physicsinformed neural networks and their high dimensional variants; (ii) stochastic methods derived from Feynman--Kac and backward stochastic differential equation formulations; and (iii) hybrid derivative--free random difference approaches designed to alleviate the computational cost of derivatives in high dimensions. For each paradigm, we outline the underlying mathematical formulation, algorithmic implementation, and practical strengths and limitations. Representative benchmark problems--including Hamilton--Jacobi--Bellman and Black--Scholes equations in up to 1000 dimensions --illustrate the scalability, effectiveness, and accuracy of the methods. The paper concludes with a discussion of open challenges and future directions for reliable and scalable solvers of high dimensional PDEs.