Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities

DOI10.1007/S10208-021-09514-YzbMath1501.65084arXiv1912.02571OpenAlexW2997339296WikidataQ115385125 ScholiaQ115385125MaRDI QIDQ2162115

Thomas Kruse, Martin Hutzenthaler, Arnulf Jentzen

Publication date: 5 August 2022

Published in: Foundations of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.02571

zbMATH Keywords

PDEpartial differential equationbackward stochastic differential equationcurse of dimensionalitymultilevel Monte CarloBSDEgradient-dependent nonlinearitymultilevel Picard

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with classical thermodynamics and heat transfer (35Q79) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (9)

On the speed of convergence of Picard iterations of backward stochastic differential equations ⋮ Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees ⋮ Active learning based sampling for high-dimensional nonlinear partial differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders ⋮ A deep branching solver for fully nonlinear partial differential equations ⋮ Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations ⋮ Nesting Monte Carlo for high-dimensional non-linear PDEs ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

Uses Software

• PDE-Net
• DGM

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