Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks

DOI10.1214/20-EJP423zbMath1469.60220arXiv1903.05985OpenAlexW2921935427MaRDI QIDQ2201474

Arnulf Jentzen, Martin Hutzenthaler, Philippe von Wurstemberger

Publication date: 29 September 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.05985

zbMATH Keywords

curse of dimensionalitysemilinear PDEshigh-dimensional PDEsmultilevel Picard methodsemilinear Kolmogorov PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Semilinear parabolic equations (35K58)

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Uses Software

• DGM

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