2017/01/26 by Xavier Warin, Warin, Xavier
Economics, Econometrics and Finance · Mathematics · #35K10 #60J60 #60J85 #65C05 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:35K10 #msc:60J60 #msc:60J85 #msc:65C05
paper · pdf · doi:10.48550/arxiv.1701.07660
25 pages
arxiv created 2017/01/26 · openalex publication_date 2017/01/26 · arxiv updated 2017/01/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The branching methods developed are effective methods to solve some semi linear PDEs and are shown numerically to be able to solve some full non linear PDEs. These methods are however restricted to some small coefficients in the PDE and small maturities. This article shows numerically that these methods can be adapted to solve the problems with longer maturities in the semi-linear case by using a new derivation scheme and some nested method. As for the case of full non linear PDEs, we introduce new schemes and we show numerically that they provide an effective alternative to the schemes previously developed.