Nesting Monte Carlo for high-dimensional Non Linear PDEs

DOI10.1515/MCMA-2018-2020arXiv1804.08432WikidataQ114052803 ScholiaQ114052803MaRDI QIDQ6300677

Publication date: 23 April 2018

Abstract: A new method based on nesting Monte Carlo is developed to solve high-dimensional semi-linear PDEs. Convergence of the method is proved and its convergence rate studied. Results in high dimension for different kind of non-linearities show its efficiency.

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

This page was built for publication: Nesting Monte Carlo for high-dimensional Non Linear PDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6300677)