Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations

DOI10.1515/mcma-2018-0005zbMath1390.60211arXiv1709.04777OpenAlexW2964122806MaRDI QIDQ1746430

Anthony Le Cavil, Nadia Oudjane, Francesco Russo

Publication date: 25 April 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.04777

zbMATH Keywords

semilinear partial differential equationsparticle systemsEuler schemesnonlinear Feynman-Kac-type functional

Mathematics Subject Classification ID

Related Items (12)

Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Stochastic models of chemotaxis processes ⋮ Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations ⋮ Markov processes and magneto-hydrodynamics equations ⋮ Systems of Nonlinear Backward and Forward Kolmogorov Equations: Generalized Solutions ⋮ Fokker-Planck equations with terminal condition and related McKean probabilistic representation ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations ⋮ A Probabilistic Interpretation of Conservation and Balance Laws ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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