A probabilistic numerical method for fully nonlinear parabolic PDEs

DOI10.1214/10-AAP723zbMath1230.65009arXiv0905.1863MaRDI QIDQ640058

Nizar Touzi, Xavier Warin, Arash Fahim

Publication date: 12 October 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.1863

zbMATH Keywords

convergence; numerical results; portfolio optimization; viscosity solutions; monotone schemes; Monte Carlo approximation; second order backward stochastic differential equations; Hamilton-Jacobi-Bellman PDEs; mean curvature flow equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

91G10: Portfolio theory

35F21: Hamilton-Jacobi equations

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