Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
DOI10.1098/rspa.2019.0630zbMath1472.65157arXiv1807.01212WikidataQ104757117 ScholiaQ104757117MaRDI QIDQ5161194
Thomas Kruse, Arnulf Jentzen, Martin Hutzenthaler, Tuan Anh Nguyen, Philippe von Wurstemberger
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
complexity; computational mathematics; curse of dimensionality; multilevel Monte Carlo method; applied mathematics; information based complexity; high-dimensional PDEs; tractability of multivariate problems; multilevel Picard approximations; high-dimensional semilinear backward stochastic differential equations
65N75: Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs
65C05: Monte Carlo methods
35K58: Semilinear parabolic equations