Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians

DOI10.1007/S40072-021-00220-YzbMATH Open1495.35104arXiv2106.12127OpenAlexW3211610888WikidataQ114219551 ScholiaQ114219551MaRDI QIDQ2158592FDOQ2158592

Authors: Guillaume Penent, Nicolas Privault 

Publication date: 26 July 2022

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We obtain existence results for the solution u of nonlocal semilinear parabolic PDEs on $mathbb{R}^d$ with polynomial nonlinearities in $(u,ablau)$, using a tree-based probabilistic representation. This probabilistic representation applies to the solution of the equation itself, as well as to its partial derivatives by associating one of d marks to the initial tree branch. Partial derivatives are dealt with by integration by parts and subordination of Brownian motion. Numerical illustrations are provided in examples for the fractional Laplacian in dimension up to 10, and for the fractional Burgers equation in dimension two.

Full work available at URL: https://arxiv.org/abs/2106.12127

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Monte-Carlo methodbranching processessubordinationstable processesVolterra integral equationssemilinear PDEsnonlocal PDEs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of branching processes (60J85) Classical hypergeometric functions, ({}_2F_1) (33C05) Smoothness and regularity of solutions to PDEs (35B65) Numerical methods for integral equations (65R20) Semilinear parabolic equations (35K58) Fractional partial differential equations (35R11) Initial value problems for PDEs with pseudodifferential operators (35S10) Volterra integral equations (45D05) Stable stochastic processes (60G52) Pseudodifferential operators as generalizations of partial differential operators (35S05) Pseudodifferential operators (47G30)

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Cited In (4)

• Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls
• Numerical methods for backward stochastic differential equations: a survey

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