Nesting Monte Carlo for high-dimensional Non Linear PDEs
Probability
2018-05-15 v2
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.
Cite
@article{arxiv.1804.08432,
title = {Nesting Monte Carlo for high-dimensional Non Linear PDEs},
author = {Xavier Warin},
journal= {arXiv preprint arXiv:1804.08432},
year = {2018}
}
Comments
35 pages