On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations-Reference-Cited by-同舟云学术

On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations

Published:2019-03-07 Issue:3 Volume:79 Page:1534-1571
ISSN:0885-7474
Container-title:Journal of Scientific Computing
language:en
Short-container-title:J Sci Comput

Author:

E Weinan,Hutzenthaler Martin,Jentzen Arnulf,Kruse Thomas

Funder

Office of Naval Research Global

U.S. Department of Energy

Deutsche Forschungsgemeinschaft

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,General Engineering,Theoretical Computer Science,Software,Applied Mathematics,Computational Mathematics,Numerical Analysis

Link

http://link.springer.com/content/pdf/10.1007/s10915-018-00903-0.pdf

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5. Bayraktar, E., Milevsky, M.A., Promislow, S.D., Young, V.R.: Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. J. Econ. Dyn. Control 33(3), 676–691 (2009)

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