Prof. Dr. Martin Hutzenthaler (Universität Duisburg-Essen) via ZOOM: On the curse of dimensionality for semilinear partial differential equations
Wednesday, 13.01.2021 14:15
The Feynman-Kac formula represents solutions of linear partial differential equations (PDEs) as expectations
and these are approximated by the central limit theorem for iid random variables.
The resulting method is called Monte Carlo method and overcomes
the so-called curse of dimensionality (the effort does not grow exponentially in the
dimension). It was a long-standing problem to find a method which also
overcomes the curse of dimensionality for nonlinear PDEs. In this talk
we introduce multilevel Picard approximations
and explain their success in the approximation of high-dimensional
semilinear PDEs.
Angelegt am Tuesday, 27.10.2020 15:35 von Claudia Giesbert
Geändert am Tuesday, 12.01.2021 14:39 von Claudia Giesbert
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