In this paper, we propose a new adaptive technique, named adaptive trajectories sampling (ATS), which is used to select training points for the numerical solution of partial differential equations (PDEs) with deep learning methods. The key feature of the ATS is that all training points are adaptively selected from trajectories that are generated according to a PDE-related stochastic process. We incorporate the ATS into three known deep learning solvers for PDEs, namely the adaptive derivative-free-loss method (ATS-DFLM), the adaptive physics-informed neural network method (ATS-PINN), and the adaptive temporal-difference method for forward-backward stochastic differential equations (ATS-FBSTD). Our numerical experiments demonstrate that the ATS remarkably improves the computational accuracy and efficiency of the original deep learning solvers for the PDEs. In particular, for some specific high-dimensional PDEs, the ATS can even improve the accuracy of the PINN by two orders of magnitude.

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