For semilinear Kolmogorov PDEs with Lipschitz nonlinearities, a unique continuous at-most-polynomially-growing solution to the associated stochastic fixed point equation exists, even without a classical PDE solution.
Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
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abstract
For a long time it is well-known that high-dimensional linear parabolic partial differential equations (PDEs) can be approximated by Monte Carlo methods with a computational effort which grows polynomially both in the dimension and in the reciprocal of the prescribed accuracy. In other words, linear PDEs do not suffer from the curse of dimensionality. For general semilinear PDEs with Lipschitz coefficients, however, it remained an open question whether these suffer from the curse of dimensionality. In this paper we partially solve this open problem. More precisely, we prove in the case of semilinear heat equations with gradient-independent and globally Lipschitz continuous nonlinearities that the computational effort of a variant of the recently introduced multilevel Picard approximations grows polynomially both in the dimension and in the reciprocal of the required accuracy.
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On existence and uniqueness properties for solutions of stochastic fixed point equations
For semilinear Kolmogorov PDEs with Lipschitz nonlinearities, a unique continuous at-most-polynomially-growing solution to the associated stochastic fixed point equation exists, even without a classical PDE solution.