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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
For a long time it has been well-known that high-dimensional linear parabolic partial differential equations (PDEs) can be approximated by Monte Carlo methods with a computational effort which grows polynomially both in the dimension and in the reciprocal of the prescribed accuracy. In other words,...
Shranjeno v:
| izdano v: | Proc Math Phys Eng Sci |
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| Main Authors: | , , , , |
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
The Royal Society Publishing
2020
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| Teme: | |
| Online dostop: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7776969/ https://ncbi.nlm.nih.gov/pubmed/33408553 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1098/rspa.2019.0630 |
| Oznake: |
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