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

DOI10.1007/S40072-021-00220-YMaRDI QIDQ2158592zbMATH OpenOpenAlexWikidataFDO

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)

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

zbMATH Keywords

branching processesLévy processesMonte-Carlo methodnonlocal PDEssemilinear PDEsstable processessubordinationVolterra integral equations

Mathematics Subject Classification ID

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

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.

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Cited in

(6)

• Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series
• Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Numerical methods for backward stochastic differential equations: a survey
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