Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s42985-021-00089-5 / rank
Normal rank
 
Property / Wikidata QID
 
Property / Wikidata QID: Q115369957 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1607.03295 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4942162 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations in infinite dimensions: Solutions via Dirichlet forms / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3574973 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward scheme for backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of BSDEs by Wiener chaos expansion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear Multistep Schemes for BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Infinite-dimensional quadrature and approximation of distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differentiability of the Feynman-Kac semigroup and a control application / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3510853 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive valuation of defaultable securities and the timing of resolution of uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Formulae for the derivatives of heat semigroups / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3504233 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Path Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving BSDE with Adaptive Control Variate / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of strong solutions for Itô's stochastic equations via approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo complexity of global solution of integral equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433869 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Branching diffusion representation of semilinear PDEs and Monte Carlo approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical algorithm for a class of BSDEs via the branching process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Markov processes and stochastic equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic interpretation for systems of quasilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A concise course on stochastic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Remark on Stirling's Formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Branching Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S42985-021-00089-5 / rank
 
Normal rank

Latest revision as of 22:39, 16 December 2024

scientific article
Language Label Description Also known as
English
Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
scientific article

    Statements

    Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    3 January 2022
    0 references
    curse of dimensionality
    0 references
    high-dimensional PDEs
    0 references
    high-dimensional semilinear BSDEs
    0 references
    multilevel Picard iteration
    0 references
    multilevel Monte Carlo method
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references