AbstractWe introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate combination of the Feynman–Kac and the Bismut–Elworthy–Li formulas, and an approximate decomposition of the Picard fixed-point iteration with multilevel accuracy. The algorithm has been tested on a variety of semilinear partial differential equations that arise in physics and finance, with satisfactory results. Analytical tools needed for the analysis of such algorithms, including a semilinear Feynman–Kac formula, a new class of seminorms and their recursive inequalities, are also introduced. They allow us to prove for semilinear heat equations with gradient-independent nonlinearities that the computational complexity of the proposed algorithm is bounded by $$O(d\,{\varepsilon }^{-(4+\delta )})$$
O
(
d
ε
-
(
4
+
δ
)
)
for any $$\delta \in (0,\infty )$$
δ
∈
(
0
,
∞
)
under suitable assumptions, where $$d\in {{\mathbb {N}}}$$
d
∈
N
is the dimensionality of the problem and $${\varepsilon }\in (0,\infty )$$
ε
∈
(
0
,
∞
)
is the prescribed accuracy. Moreover, the introduced class of numerical algorithms is also powerful for proving high-dimensional approximation capacities for deep neural networks.