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

DOI10.1007/s40072-021-00220-yzbMath1495.35104arXiv2106.12127OpenAlexW3211610888WikidataQ114219551 ScholiaQ114219551MaRDI QIDQ2158592

Nicolas Privault, Guillaume Penent

Publication date: 26 July 2022

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

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

zbMATH Keywords

branching processesLévy processessubordinationVolterra integral equationsstable processesMonte-Carlo methodsemilinear PDEsnonlocal PDEs

Mathematics Subject Classification ID

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

Related Items (4)

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

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