Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854)

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English	Nesting Monte Carlo for high-dimensional non-linear PDEs	scientific article

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scholarly article

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Nesting Monte Carlo for high-dimensional non-linear PDEs (English)

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Monte Carlo Methods and Applications

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publication date

30 January 2019

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full work available at URL

https://arxiv.org/abs/1804.08432

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zbMATH Keywords

non-linear PDE

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Monte Carlo

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numerical method

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Linear Multistep Schemes for BSDEs

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Numerical simulation of quadratic BSDEs

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Unbiased Monte Carlo estimate of stochastic differential equations expectations

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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Applications of Malliavin calculus to Monte Carlo methods in finance

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Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Monotone martingale transport plans and Skorokhod embedding

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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

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Adapted solution of a backward stochastic differential equation

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Expansion of the global error for numerical schemes solving stochastic differential equations

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A splitting method for fully nonlinear degenerate parabolic PDEs

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Optimal stochastic control, stochastic target problems, and backward SDE.

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Identifiers

10.1515/mcma-2018-2020

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1713854

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