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arXiv 提交日期: 2026-07-09
📄 Abstract - Deep Learning Method for Stationary Distribution of Reflected Brownian Motion

The stationary distribution of reflected Brownian motion (RBM) plays an important role in the analysis of high-dimensional stochastic systems, yet closed-form solutions are known only for a few special cases. Computing important performance metrics, such as tail probabilities, is even more intractable, despite their practical relevance. In this paper, we develop a deep learning approach that accurately and efficiently learns the Laplace transform of high-dimensional RBMs based on the basic adjoint relationship (BAR). Our framework combines a careful design of the loss function, training data sampling procedure, and neural network architecture. We evaluate the proposed method on RBM instances with known ground-truth tail probabilities and demonstrate near-perfect prediction in high-dimensional settings, highlighting its potential as a general tool for analyzing stochastic systems beyond analytically tractable regimes. Our code can be found at this https URL.

顶级标签: machine learning theory systems
详细标签: deep learning reflected brownian motion stationary distribution laplace transform stochastic systems 或 搜索:

反射布朗运动平稳分布的深度学习方法 / Deep Learning Method for Stationary Distribution of Reflected Brownian Motion


1️⃣ 一句话总结

本文提出了一种基于深度学习的计算方法,通过训练神经网络来高效学习高维反射布朗运动的平稳分布,从而能够准确预测其尾部概率等关键性能指标,为传统数学难以处理的复杂随机系统分析提供了通用工具。

源自 arXiv: 2607.08091