Multilevel Picard approximations for high-dimensional semilinear parabolic partial differential equations
- Date: Thursday 22 October 2020, 14:00 – 15:00
- Location: Online event
- Type: Probability and Financial Mathematics, Seminars, Statistics
- Cost: Free
Professor Dr Thomas Kruse from the University of Giessen will be presenting this talk.
Title: Multilevel Picard approximations for high-dimensional semilinear parabolic partial differential equations
We present new approximation methods for high-dimensional semilinear parabolic PDEs. A key idea of our methods is to combine multilevel approximations with Picard fixed-point approximations.
We prove in the case of semilinear heat equations with Lipschitz continuous nonlinearities that the computational effort of one of the proposed methods grows polynomially
both in the dimension and in the reciprocal of the required accuracy.
We illustrate the efficiency of the approximation methods by means of numerical simulations.
The talk is based on joint works with Weinan E, Martin Hutzenthaler, Arnulf Jentzen, Tuan Nguyen and Philippe Von Wurstemberger.
If you are interested to join this talk, please contact Dr Miryana Grigorova at email@example.com for the Zoom details.