Nesting Monte Carlo for high-dimensional non-linear PDEs
From MaRDI portal
Publication:1713854
DOI10.1515/MCMA-2018-2020OpenAlexW2963870185WikidataQ114052803 ScholiaQ114052803MaRDI QIDQ1713854FDOQ1713854
Authors: Xavier Warin 
Publication date: 30 January 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08432
Recommendations
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Deep backward schemes for high-dimensional nonlinear PDEs
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Neural networks-based backward scheme for fully nonlinear PDEs
Monte Carlo methods (65C05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Linear multistep schemes for BSDEs
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Numerical simulation of quadratic BSDEs
- Optimal stochastic control, stochastic target problems, and backward SDE.
- A splitting method for fully nonlinear degenerate parabolic PDEs
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Monotone martingale transport plans and Skorokhod embedding
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Pseudo random coins show more heads than tails
- Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
- Numerical approximation of general Lipschitz BSDEs with branching processes
Cited In (18)
- Neural network-based variational methods for solving quadratic porous medium equations in high dimensions
- An unbiased Itô type stochastic representation for transport PDEs: a toy example
- Machine learning for semi linear PDEs
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- An overview on deep learning-based approximation methods for partial differential equations
- Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
- Neural networks-based backward scheme for fully nonlinear PDEs
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Numerical approximation of general Lipschitz BSDEs with branching processes
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Numerical methods for backward stochastic differential equations: a survey
- Analysis of deep Ritz methods for semilinear elliptic equations
- Deep backward schemes for high-dimensional nonlinear PDEs
- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
- Nesting Monte Carlo for high-dimensional Non Linear PDEs
Uses Software
This page was built for publication: Nesting Monte Carlo for high-dimensional non-linear PDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1713854)
