Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method

DOI10.1016/j.spa.2020.02.009zbMath1440.35125arXiv1704.00328OpenAlexW3008455458WikidataQ114130786 ScholiaQ114130786MaRDI QIDQ2186658

Julien Claisse, Ankush Agarwal

Publication date: 9 June 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.00328

zbMATH Keywords

semilinear elliptic equationsMonte Carlo methodbranching diffusion processdifferentiation formula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of branching processes (60J85) Applications of stochastic analysis (to PDEs, etc.) (60H30) Semilinear elliptic equations (35J61)

Related Items (5)

An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation

Uses Software

• exitbm

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