Mean field-type models describing the limiting behavior of stochastic differential games as the number of players tends to +∞ were recently introduced by Lasry and Lions. Under suitable assumptions, ...

The initial-boundary value problem for a linear parabolic equation with the Dirichlet boundary condition is solved approximately by applying the finite element discretization in the space dimension ...

This paper presents a simple but effective and efficient approach to improve the accuracy and stability of the least-squares Monte Carlo method. The key idea is to construct an ansatz for the ...