Probabilistic methods for semilinear partial differential equations. Applications to finance

DOI10.1051/m2an/2010054zbMath1210.65011MaRDI QIDQ4933356

Dan Crisan, Konstantinos Manolarakis

Publication date: 12 October 2010

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/44674

zbMATH Keywords

Malliavin calculus; probabilistic methods; cubature methods; semilinear PDEs; BSDEs Monte Carlo methods

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H07: Stochastic calculus of variations and the Malliavin calculus

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

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