Session I.7 - Stochastic Computation - Semi-plenary talk
Tuesday, June 13, 16:30 ~ 17:30
Overcoming the curse of dimensionality in the numerical approximation of BSDEs
Martin Hutzenthaler
University of Duisburg Essen, Germany - This email address is being protected from spambots. You need JavaScript enabled to view it.
Backward stochastic differential equations (BSDEs) in applications are often nonlinear and high-dimensional. In nearly all cases such nonlinear high-dimensional BSDEs cannot be solved explicitly and it has been and still is a very active topic of research to design and analyze numerical approximation methods to approximatively solve nonlinear high-dimensional BSDEs. In this talk we show how to overcome the curse of dimensionality by introducing a new Monte Carlo-type numerical approximation method for high-dimensional BSDEs and by proving that this Monte Carlo-type numerical approximation method does indeed overcome the curse of dimensionality in the approximative computation of solution paths of BSDEs.