A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
Publication:2690084
DOI10.1007/s00028-023-00873-3OpenAlexW4321851684MaRDI QIDQ2690084
Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault
Publication date: 15 March 2023
Published in: Journal of Evolution Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.03882
branching processesfully nonlinear PDEsMonte-Carlo methodparabolic PDEsquasilinear PDEssemilinear PDEsgradient nonlinearities
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Smoothness and regularity of solutions to PDEs (35B65) Nonlinear parabolic equations (35K55) Applications of branching processes (60J85) Theoretical approximation in context of PDEs (35A35)
Related Items (4)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A splitting method for fully nonlinear degenerate parabolic PDEs
- Wellposedness of second order backward SDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Ramification of rough paths
- Trees and numerical methods for ordinary differential equations
- Lessons from quantum field theory: Hopf algebras and spacetime geometries
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
- Algebraic renormalisation of regularity structures
- Probabilistic representation formula for the solution of fractional high-order heat-type equations
- DGM: a deep learning algorithm for solving partial differential equations
- Neural networks-based backward scheme for fully nonlinear PDEs
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
- Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
- Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
- Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A numerical algorithm for a class of BSDEs via the branching process
- Branching Markov processes. I
- Algebraic structures on typed decorated rooted trees
- BOUNDEDLY NONHOMOGENEOUS ELLIPTIC AND PARABOLIC EQUATIONS
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
- A Multivariate Faa di Bruno Formula with Applications
- Deep backward schemes for high-dimensional nonlinear PDEs
- Solving high-dimensional partial differential equations using deep learning
- An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians
- Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs
- Nonexplosion of a class of semilinear equations via branching particle representations
- Geometric Numerical Integration
- Coefficients for the study of Runge-Kutta integration processes
- Branching Diffusion Processes
This page was built for publication: A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
