Nesting Monte Carlo for high-dimensional Non Linear PDEs

DOI10.1515/MCMA-2018-2020MaRDI QIDQ6300677arXivWikidataFDO

Authors Xavier Warin

Publication date 23 April 2018

Published in arXiv

Full work available at URL https://doi.org/10.1515/MCMA-2018-2020

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Monte Carlo methods (65C05)

arXiv classification

math.PR

Abstract: A new method based on nesting Monte Carlo is developed to solve high-dimensional semi-linear PDEs. Convergence of the method is proved and its convergence rate studied. Results in high dimension for different kind of non-linearities show its efficiency.

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