Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation

DOI10.1214/20-AAP1649MaRDI QIDQ2240887zbMATH OpenOpenAlexFDO

Authors Pierre Henry-Labordère, Nizar Touzi

Publication date 4 November 2021

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.08794, https://projecteuclid.org/journals/annals-of-applied-probability/volume-31/issue-5/Branching-diffusion-representation-for-nonlinear-Cauchy-problems-and-Monte-Carlo/10.1214/20-AAP1649.full

zbMATH Keywords

branching processesDuhamel formulafourth-order nonlinear beam equationGross-Pitaevskii equationnonlinear Klein-Gordon equationYang-Mills equation

Mathematics Subject Classification ID

Integral representations of solutions to PDEs (35C15) Initial value problems for nonlinear higher-order PDEs (35G25) Applications of branching processes (60J85) Monte Carlo methods (65C05)

Abstract: We provide a probabilistic representations of the solution of some semilinear hyperbolicand high-order PDEs based on branching diffusions. These representations pave theway for a Monte-Carlo approximation of the solution, thus bypassing the curse ofdimensionality. We illustrate the numerical implications in the context of some popularPDEs in physics such as nonlinear Klein-Gordon equation, a simplied scalar versionof the Yang-Mills equation, a fourth-order nonlinear beam equation and the Gross-Pitaevskii PDEas an example of nonlinear Schrodinger equations.

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Cited in

(9)

• Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
• Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
• Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• An unbiased Itô type stochastic representation for transport PDEs: a toy example
• XVA in a multi-currency setting with stochastic foreign exchange rates
• A deep branching solver for fully nonlinear partial differential equations
• Bounds on the approximation error for deep neural networks applied to dispersive models: nonlinear waves
• Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation

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