On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Publication:2316188

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DOI10.1007/s10915-018-00903-0zbMath1418.65149arXiv1708.03223OpenAlexW2743985642WikidataQ128298743 ScholiaQ128298743MaRDI QIDQ2316188

Arnulf Jentzen, Martin Hutzenthaler, Thomas Kruse, E. Weinan

Publication date: 26 July 2019

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03223

zbMATH Keywords

curse of dimensionality multilevel Monte Carlo method high-dimensional PDEs multilevel Picard approximations high-dimensional nonlinear BSDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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