Mathematics > Probability
[Submitted on 23 Apr 2018 (v1), last revised 14 May 2018 (this version, v2)]
Title:Nesting Monte Carlo for high-dimensional Non Linear PDEs
View PDFAbstract: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.
Submission history
From: Xavier Warin [view email][v1] Mon, 23 Apr 2018 13:49:22 UTC (1,200 KB)
[v2] Mon, 14 May 2018 12:59:51 UTC (1,198 KB)
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