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

2017/09/13 by Cavil, Anthony Le, Oudjane, Nadia, Russo, Francesco
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1709.04777

Abstract

The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

Related

• Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
• A backward Monte-Carlo method for solving parabolic partial differential equations
• Feynman-Kac representation of fully nonlinear PDEs and applications
• Unbiased local solutions of partial differential equations via the Feynman-Kac Identities
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations