Branching diffusion representation of semilinear PDEs and Monte Carlo approximation *

Pierre Henry-Labordère (1) , Nadia Oudjane (2, 3) , Xiaolu Tan (4) , Nizar Touzi (5) , Xavier Warin (3)

1 SOCIETE GENERALE - Equity Derivatives Research Societe Generale
2 FiME Lab - Laboratoire de Finance des Marchés d'Energie
3 EDF R&D - EDF R&D
4 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
5 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP equations, introduced by Skorokhod [23], Watanabe [27] and McKean [18], by allowing for polynomial nonlinearity in the pair (u, Du), where u is the solution of the PDE with space gradient Du. Similar to the previous literature, our result requires a non-explosion condition which restrict to " small maturity " or " small nonlinearity " of the PDE. Our main ingredient is the automatic differentiation technique as in [15], based on the Malliavin integration by parts, which allows to account for the nonlin-earities in the gradient. As a consequence, the particles of our branching diffusion are marked by the nature of the nonlinearity. This new representation has very important numerical implications as it is suitable for Monte Carlo simulation. Indeed, this provides the first numerical method for high dimensional nonlinear PDEs with error estimate induced by the dimension-free Central limit theorem. The complexity is also easily seen to be of the order of the squared dimension. The final section of this paper illustrates the efficiency of the algorithm by some high dimensional numerical experiments.

Mots clés: Semilinear PDEs; branching processes; Monte-Carlo methods

Domaines: Probabilités [math.PR]

Pierre Henry-Labordère, Nadia Oudjane, Xiaolu Tan, Nizar Touzi, Xavier Warin. Branching diffusion representation of semilinear PDEs and Monte Carlo approximation *. 2017. ⟨hal-01429549⟩