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08/24/2021
Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
Backward stochastic differential equations (BSDEs) belong nowadays to th...
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03/19/2021
Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
In the literatur there exist approximation methods for McKean-Vlasov sto...
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09/29/2020
Nonlinear Monte Carlo methods with polynomial runtime for high-dimensional iterated nested expectations
The approximative calculation of iterated nested expectations is a recur...
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09/05/2020
Multilevel Picard approximations for high-dimensional semilinear second-order PDEs with Lipschitz nonlinearities
The recently introduced full-history recursive multilevel Picard (MLP) a...
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12/05/2019
Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
Partial differential equations (PDEs) are a fundamental tool in the mode...
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07/15/2019