[3] On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations.

Some iterative methods are developed for the solution of a forward-backward heat equation. Lower bounds for the rates of convergence of the methods are given, and some numerical results are presented.

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...