Nesting Monte Carlo for high-dimensional Non Linear PDEs

Published 23 Apr 2018 in math.PR | (1804.08432v2)

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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Xavier Warin

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