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@inproceedings{Fahim2011APN, title={A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs}, author={Arash Fahim and Nizar Touzi and Xavier Warin}, year={2011} }

- Published 2011
DOI:10.1214/10-AAP723

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [12], and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives a bound on the discretization error in terms of the time step. An explicit implementable scheme requires to approximate the… CONTINUE READING

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