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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

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arxiv 1807.01212 v3 pith:HXXZ6KKQ submitted 2018-07-03 math.PR cs.NAmath.APmath.NA

classification math.PRcs.NAmath.APmath.NA
keywords cursedimensionalityequationspdessemilinearaccuracycomputationaldifferential
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For a long time it is 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, linear PDEs do not suffer from the curse of dimensionality. For general semilinear PDEs with Lipschitz coefficients, however, it remained an open question whether these suffer from the curse of dimensionality. In this paper we partially solve this open problem. More precisely, we prove in the case of semilinear heat equations with gradient-independent and globally Lipschitz continuous nonlinearities that the computational effort of a variant of the recently introduced multilevel Picard approximations grows polynomially both in the dimension and in the reciprocal of the required accuracy.

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  1. On existence and uniqueness properties for solutions of stochastic fixed point equations

    math.PR 2019-08 accept novelty 6.0 of 10

    For semilinear Kolmogorov PDEs with Lipschitz nonlinearities, a unique continuous at-most-polynomially-growing solution to the associated stochastic fixed point equation exists, even without a classical PDE solution.

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