Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
DOI10.1214/20-EJP423zbMath1469.60220arXiv1903.05985MaRDI QIDQ2201474
Arnulf Jentzen, Martin Hutzenthaler, Philippe von Wurstemberger
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.05985
curse of dimensionality; semilinear PDEs; high-dimensional PDEs; multilevel Picard method; semilinear Kolmogorov PDEs
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
35K58: Semilinear parabolic equations
Uses Software
