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arXiv · 1804.08432

Nesting Monte Carlo for high-dimensional Non Linear PDEs

Xavier Warin
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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. 2018-04-23. Nesting Monte Carlo for high-dimensional Non Linear PDEs. https://arxiv.org/abs/1804.08432

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