Feynman-Kac representation of fully nonlinear PDEs and applications
From MaRDI portal
Publication:2355853
backward stochastic differential equationsfully nonlinear PDEsHamilton-Jacobi-Bellman equationstochastic controlmathematical financeMonte Carlo simulationsFeynman-Kac representationdiscrete-time approximation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Abstract: The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for solving linear PDEs by Monte Carlo simulations of random processes. The extension to (fully)nonlinear PDEs led in the recent years to important developments in stochastic analysis and the emergence of the theory of backward stochastic differential equations (BSDEs), which can be viewed as nonlinear Feynman-Kac formulas. We review in this paper the main ideas and results in this area, and present implications of these probabilistic representations for the numerical resolution of nonlinear PDEs, together with some applications to stochastic control problems and model uncertainty in finance.
Recommendations
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- scientific article; zbMATH DE number 5680008
Cites work
- scientific article; zbMATH DE number 5010399 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1032935 (Why is no real title available?)
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- A numerical scheme for BSDEs
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Adapted solution of a backward stochastic differential equation
- BSDE with quadratic growth and unbounded terminal value
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Ergodic BSDEs and optimal ergodic control in Banach spaces
- Ergodic BSDEs and related PDEs with Neumann boundary conditions
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Numerical simulation of quadratic BSDEs
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Valuing American options by simulation: a simple least-squares approach
- Wellposedness of second order backward SDEs
Cited in
(20)- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning
- Generalized Feynman-Kac formula under volatility uncertainty
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
- Multistep schemes for solving backward stochastic differential equations on GPU
- Feynman formulas for nonlinear evolution equations
- A regression-based numerical scheme for backward stochastic differential equations
- On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
- Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations
- Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
- Filtering the Feynman--KAC Formula
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
- Deep splitting method for parabolic PDEs
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
This page was built for publication: Feynman-Kac representation of fully nonlinear PDEs and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2355853)
