Nesting Monte Carlo for high-dimensional Non Linear PDEs

2018/04/23 by Xavier Warin, Warin, Xavier · 1 citation
Mathematics · #FOS: Mathematics #Primary 65C05 #Probability (math.PR) #math.PR #msc:49L25 #msc:65C05 #secondary 49L25

paper · pdf · doi:10.48550/arxiv.1804.08432

35 pages

arxiv created 2018/05/14 · arxiv updated 2018/05/15

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.

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