On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
From MaRDI portal
Publication:2316188
DOI10.1007/s10915-018-00903-0zbMath1418.65149arXiv1708.03223MaRDI QIDQ2316188
Arnulf Jentzen, Martin Hutzenthaler, Thomas Kruse, E. Weinan
Publication date: 26 July 2019
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.03223
curse of dimensionality; multilevel Monte Carlo method; high-dimensional PDEs; multilevel Picard approximations; high-dimensional nonlinear BSDEs
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
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