Nesting Monte Carlo for high-dimensional non-linear PDEs
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Publication:1713854
DOI10.1515/MCMA-2018-2020OpenAlexW2963870185WikidataQ114052803 ScholiaQ114052803MaRDI QIDQ1713854
Publication date: 30 January 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08432
Monte Carlo methods (65C05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Uses Software
Cites Work
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