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math.PR2010
A Probabilistic Scheme for Fully Nonlinear Nonlocal Parabolic PDEs with singular Lévy measures
Arash Fahim
We introduce a Monte Carlo scheme for fully nonlinear parabolic nonlocal PDE's whose nonlinearity in of Hamilton-Jacobi-Bellman-Isaacs (HJBI for short). We avoid the difficulties o…
math.PR2009
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
Arash Fahim, Nizar Touzi, Xavier Warin
We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and f…