A monotone scheme for high-dimensional fully nonlinear PDEs
For researchers solving high-dimensional PDEs, this method extends the applicability of monotone schemes to a broader class of problems.
The paper proposes a monotone numerical scheme for high-dimensional fully nonlinear parabolic PDEs that relaxes a key constraint from prior work, enabling feasible computation up to dimension 12.
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.