McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

DOI10.1007/978-3-030-87432-2_10zbMATH Open1499.60189arXiv1912.03146OpenAlexW2993040084MaRDI QIDQ2107414FDOQ2107414

Authors: Lucas Izydorczyk, Nadia Oudjane, Francesco Russo 

Publication date: 1 December 2022

Abstract: This paper presents a partial state of the art about the topic of representation of generalized Fokker-Planck Partial Differential Equations (PDEs) by solutions of McKean Feynman-Kac Equations (MFKEs) that generalize the notion of McKean Stochastic Differential Equations (MSDEs). While MSDEs can be related to non-linear Fokker-Planck PDEs, MFKEs can be related to non-conservative non-linear PDEs. Motivations come from modeling issues but also from numerical approximation issues in computing the solution of a PDE, arising for instance in the context of stochastic control. MFKEs also appear naturally in representing final value problems related to backward Fokker-Planck equations.

Full work available at URL: https://arxiv.org/abs/1912.03146

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zbMATH Keywords

HJB equationMcKean stochastic differential equationprobabilistic representation of PDEsbackward diffusionFeynman-Kac measurestime reversed diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Semilinear parabolic equations (35K58) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic particle methods (65C35)

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Cited In (12)

• On the well-posedness of a class of McKean Feynman-Kac equations
• Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
• Probabilistic representation of a class of non-conservative nonlinear partial differential equations
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