A probabilistic numerical method for fully nonlinear parabolic PDEs

DOI10.1214/10-AAP723zbMath1230.65009arXiv0905.1863OpenAlexW1998562371MaRDI 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

convergencenumerical resultsportfolio optimizationviscosity solutionsmonotone schemesMonte Carlo approximationsecond order backward stochastic differential equationsHamilton-Jacobi-Bellman PDEsmean curvature flow equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Hamilton-Jacobi equations (35F21)

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