On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

DOI10.1007/s10915-018-00903-0zbMath1418.65149arXiv1708.03223MaRDI QIDQ2316188

Thomas Kruse, Arnulf Jentzen, Martin Hutzenthaler, E. Weinan

Publication date: 26 July 2019

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03223

zbMATH Keywords

curse of dimensionality; multilevel Monte Carlo method; high-dimensional PDEs; multilevel Picard approximations; high-dimensional nonlinear BSDEs

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs