Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

DOI10.1098/rspa.2019.0630zbMath1472.65157arXiv1807.01212OpenAlexW3111993716WikidataQ104757117 ScholiaQ104757117MaRDI QIDQ5161194

Thomas Kruse, Martin Hutzenthaler, Philippe von Wurstemberger, Arnulf Jentzen, Tuan Anh Nguyen

Publication date: 29 October 2021

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.01212

zbMATH Keywords

complexitycomputational mathematicscurse of dimensionalitymultilevel Monte Carlo methodapplied mathematicsinformation based complexityhigh-dimensional PDEstractability of multivariate problemsmultilevel Picard approximationshigh-dimensional semilinear backward stochastic differential equations

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Semilinear parabolic equations (35K58)

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