Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

DOI10.1515/jnma-2021-0111OpenAlexW3193891506WikidataQ114052933 ScholiaQ114052933MaRDI QIDQ2694433

Martin Hutzenthaler, Tuan Anh Nguyen, Arnulf Jentzen, Thomas Kruse

Publication date: 3 April 2023

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

Full work available at URL: https://arxiv.org/abs/2108.10602

zbMATH Keywords

backward stochastic differential equationcurse of dimensionalitymultilevel Picard method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Numerical methods for backward stochastic differential equations: a survey ⋮ Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations

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