Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

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Author
Hutzenthaler, Martin
Jentzen, Arnulf
Kruse, Thomas
Nguyen, Tuan Anh
von Wurstemberger, Philippe
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Date
2019-09
Type
    Report
Publication status
published
External links
https://math.ethz.ch/sam/research/reports.html?id=850
Journal / series
SAM Research Report
Volume
2019-46
Publisher
Seminar for Applied Mathematics, ETH Zurich
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  
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yes
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