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20132023
most citedOn multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

136 citations · 451 across the 26 of their papers we have counts for

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math.OC2023

Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems

Christian Beck, Arnulf Jentzen, Konrad Kleinberg +1

Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision maki…