Variations on branching methods for non linear PDEs
From MaRDI portal
Publication:6282453
arXiv1701.07660MaRDI QIDQ6282453FDOQ6282453
Authors: Xavier Warin 
Publication date: 26 January 2017
Abstract: The branching methods developed are effective methods to solve some semi linear PDEs and are shown numerically to be able to solve some full non linear PDEs. These methods are however restricted to some small coefficients in the PDE and small maturities. This article shows numerically that these methods can be adapted to solve the problems with longer maturities in the semi-linear case by using a new derivation scheme and some nested method. As for the case of full non linear PDEs, we introduce new schemes and we show numerically that they provide an effective alternative to the schemes previously developed.
Monte Carlo methods (65C05) Diffusion processes (60J60) Applications of branching processes (60J85) Second-order parabolic equations (35K10)
This page was built for publication: Variations on branching methods for non linear PDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6282453)
