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

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