Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
Author:
Affiliation:
1. University of Duisburg-Essen, Duisburg, Germany
2. University of Münster, Münster, Germany
3. Eidgenössische Technische Hochschule Zürich, Zurich, Switzerland
4. Justus Liebig Universität Giessen, Giessen, Germany
Abstract
Funder
Deutsche Forschungsgemeinschaft
Publisher
The Royal Society
Subject
General Physics and Astronomy,General Engineering,General Mathematics
Link
https://royalsocietypublishing.org/doi/pdf/10.1098/rspa.2019.0630
Reference39 articles.
1. Weinan E Hutzenthaler M Jentzen A Kruse T. 2016 Multilevel Picard iterations for solving smooth semilinear parabolic heat equations. (http://arxiv.org/abs/1607.03295)
2. Infinite-Dimensional Quadrature and Approximation of Distributions
3. Giles MB. 2008 Improved multilevel Monte Carlo convergence using the Milstein scheme. In Monte Carlo and quasi-Monte Carlo methods 2006 pp. 343–358. Berlin: Springer.
4. Graham C Talay D. 2013 Stochastic simulation and Monte Carlo methods . Stochastic Modelling and Applied Probability vol. 68. Berlin Germany: Springer.
5. Monte Carlo Complexity of Global Solution of Integral Equations
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