On numerical approximations of high-dimensional nonlinear parabolic partial differential equations and of backward stochastic differential equations

Applicant Professor Dr. Martin Hutzenthaler
Subject Area Mathematics
Term from 2017 to 2022
Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 381158774
 

Project Description

The central goal of this project is to overcome the curse of dimensionality in the numerical approximation of decoupled forward-backward stochastic differential equations and semilinear partial differential equations. We introduce and analyze new approximation methods which are based on multilevel Picard approximations from the first project phase. In particular, these approximation methods are essential for pricing basket options in the financial industry.
DFG Programme Research Grants