Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
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Publication:2025321
DOI10.1515/jnma-2019-0074zbMath1471.65169arXiv1907.06729OpenAlexW2958410505WikidataQ115236059 ScholiaQ115236059MaRDI QIDQ2025321
Christian Beck, Thomas Kruse, Fabian Hornung, Arnulf Jentzen, Martin Hutzenthaler
Publication date: 12 May 2021
Published in: Journal of Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.06729
parabolic partial differential equationscurse of dimensionalitynumerical analysisFeynman-Kac representationapplied stochastic analysismultilevel Picard approximations
Monte Carlo methods (65C05) Nonlinear parabolic equations (35K55) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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