Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation (Q974245)

An unbiased estimator of the probabilistic representation of the solution of the Cauchy problem of the nonlinear parabolic equation \[ \frac{ \partial u(x,t)}{ \partial t}- a \Delta u(x,t)+ \sum_{i=1}^{n}b_i(x,t) \frac{ \partial u}{ \partial x}+c(x,t)u(x,t)= \sum_{i=0}^{\infty}a_i(x,t)u^i(x,t),\quad (x,t) \in \Omega \] under some stronger bounded condition on the \(a_i\)'s and a Hölder condition on the \(b_i\)'s is constructed by using branching processes. A numerical example is shown.