Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

2016/08/17 by Lecavil, Anthony, Cavil, Anthony Le, Oudjane, Nadia +1
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1608.04871

Abstract

We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a non-conservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness. The solution of that type of equation can be approached via a weighted particle system.

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