A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082)

The authors propose a numerical scheme for the Monte Carlo simulation of high-dimensional fully nonlinear parabolic partial differential equations (PDEs). It follows the idea of the scheme of \textit{A. Fahim} et al. [ibid. 21, No. 4, 1322--1364 (2011; Zbl 1230.65009)], but relaxes the monotonicity constraint in that work, which implies that the PDE has to be almost semilinear in high dimensions by using discrete random variables with specified moments instead of normal random variables. Numerical examples are provided, showing the applicability of the method up to dimension 12.