Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions

DOI10.1016/j.apnum.2022.05.009OpenAlexW4280597397WikidataQ113880071 ScholiaQ113880071MaRDI QIDQ2165859

Martin Hutzenthaler, Tuan Anh Nguyen

Publication date: 23 August 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.02582

zbMATH Keywords

curse of dimensionalitymultilevel Monte Carlo methodlocally monotonehigh-dimensional PDEsmultilevel Picard approximationstamed Euler-type approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to equations with nonlinear operators (65J15) Numerical methods for partial differential equations, boundary value problems (65N99) Semilinear parabolic equations (35K58)

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