Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

نویسندگان

چکیده

We introduce a new family of numerical algorithms for approximating solutions general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through delicate combination the Feynman-Kac and Bismut-Elworthy-Li formulas, an approximate decomposition Picard fixed-point iteration with multilevel accuracy. has been tested on variety that arise in physics finance, very satisfactory results. Analytical tools needed analysis such algorithms, including formula, class semi-norms their recursive inequalities, are also introduced. They allow us to prove heat gradient-independent nonlinearity computational complexity proposed bounded by $O(d\,\varepsilon^{-(4+\delta)})$ any $\delta \in (0,\infty)$ under suitable assumptions, where $d\in \mathbb{N}$ dimensionality problem $\varepsilon\in(0,\infty)$ prescribed

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ژورنال

عنوان ژورنال: Partial Differential Equations And Applications

سال: 2021

ISSN: ['2662-2971', '2662-2963']

DOI: https://doi.org/10.1007/s42985-021-00089-5