Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
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Date
2019-09
Publication Type
Report
ETH Bibliography
yes
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published
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2019-46
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Publisher
Seminar for Applied Mathematics, ETH Zurich
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Subject
curse of dimensionality; high-dimensional PDEs; information based complexity; tractability of multivariate problems; high-dimensional semilinear BSDEs; multilevel Picard approximations; multilevel Monte Carlo method
Organisational unit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
02204 - RiskLab / RiskLab