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June 2015 A monotone scheme for high-dimensional fully nonlinear PDEs
Wenjie Guo, Jianfeng Zhang, Jia Zhuo
Ann. Appl. Probab. 25(3): 1540-1580 (June 2015). DOI: 10.1214/14-AAP1030

Abstract

In this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a special case. Our paper is strongly motivated by the remarkable work Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322–1364] and stays in the paradigm of monotone schemes initiated by Barles and Souganidis [Asymptot. Anal. 4 (1991) 271–283]. Our scheme weakens a critical constraint imposed by Fahim, Touzi and Warin (2011), especially when the generator of the PDE depends only on the diagonal terms of the Hessian matrix. Several numerical examples, up to dimension 12, are reported.

Citation

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Wenjie Guo. Jianfeng Zhang. Jia Zhuo. "A monotone scheme for high-dimensional fully nonlinear PDEs." Ann. Appl. Probab. 25 (3) 1540 - 1580, June 2015. https://doi.org/10.1214/14-AAP1030

Information

Published: June 2015
First available in Project Euclid: 23 March 2015

zbMATH: 1321.65158
MathSciNet: MR3325281
Digital Object Identifier: 10.1214/14-AAP1030

Subjects:
Primary: 65C05
Secondary: 49L25

Keywords: fully nonlinear PDEs , least square regression , Monotone scheme , Monte Carlo methods , viscosity solutions

Rights: Copyright © 2015 Institute of Mathematical Statistics

Vol.25 • No. 3 • June 2015
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