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dc.contributor.authorHenry-Labordère, Pierre
dc.contributor.authorOudjane, Nadia
dc.contributor.authorTan, Xiaolu
dc.contributor.authorTouzi, Nizar
dc.contributor.authorWarin, Xavier
dc.date.accessioned2017-11-28T13:26:02Z
dc.date.available2017-11-28T13:26:02Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17091
dc.language.isoenen
dc.subjectSemilinear PDEs
dc.subjectbranching processes
dc.subjectMonte-Carlo methods
dc.subject.ddc519en
dc.titleBranching diffusion representation of semilinear PDEs and Monte Carlo approximation
dc.typeDocument de travail / Working paper
dc.description.abstractenWe provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP equations, introduced by Skorokhod [23], Watanabe [27] and McKean [18], by allowing for polynomial nonlinearity in the pair (u, Du), where u is the solution of the PDE with space gradient Du. Similar to the previous literature, our result requires a non-explosion condition which restrict to " small maturity " or " small nonlinearity " of the PDE. Our main ingredient is the automatic differentiation technique as in [15], based on the Malliavin integration by parts, which allows to account for the nonlin-earities in the gradient. As a consequence, the particles of our branching diffusion are marked by the nature of the nonlinearity. This new representation has very important numerical implications as it is suitable for Monte Carlo simulation. Indeed, this provides the first numerical method for high dimensional nonlinear PDEs with error estimate induced by the dimension-free Central limit theorem. The complexity is also easily seen to be of the order of the squared dimension. The final section of this paper illustrates the efficiency of the algorithm by some high dimensional numerical experiments.
dc.identifier.citationpages30
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01429549
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-12-15T15:37:15Z
hal.person.labIds7709
hal.person.labIds26554$$$98564
hal.person.labIds60
hal.person.labIds89626
hal.person.labIds26554


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