Annals of Applied Probability

A monotone scheme for high-dimensional fully nonlinear PDEs

Wenjie Guo, Jianfeng Zhang, and Jia Zhuo

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In this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a special case. Our paper is strongly motivated by the remarkable work Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322–1364] and stays in the paradigm of monotone schemes initiated by Barles and Souganidis [Asymptot. Anal. 4 (1991) 271–283]. Our scheme weakens a critical constraint imposed by Fahim, Touzi and Warin (2011), especially when the generator of the PDE depends only on the diagonal terms of the Hessian matrix. Several numerical examples, up to dimension 12, are reported.

Article information

Ann. Appl. Probab., Volume 25, Number 3 (2015), 1540-1580.

First available in Project Euclid: 23 March 2015

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Zentralblatt MATH identifier

Primary: 65C05: Monte Carlo methods
Secondary: 49L25: Viscosity solutions

Monotone scheme least square regression Monte Carlo methods fully nonlinear PDEs viscosity solutions


Guo, Wenjie; Zhang, Jianfeng; Zhuo, Jia. A monotone scheme for high-dimensional fully nonlinear PDEs. Ann. Appl. Probab. 25 (2015), no. 3, 1540--1580. doi:10.1214/14-AAP1030.

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