Feynman-Kac representation of fully nonlinear PDEs and applications

DOI10.1007/S40306-015-0128-XzbMATH Open1322.60133arXiv1409.0625OpenAlexW1576861397MaRDI QIDQ2355853FDOQ2355853

Authors: Huyên Pham 

Publication date: 28 July 2015

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1409.0625

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zbMATH Keywords

backward stochastic differential equationsfully nonlinear PDEsHamilton-Jacobi-Bellman equationstochastic controlmathematical financeMonte Carlo simulationsFeynman-Kac representationdiscrete-time approximation

Mathematics Subject Classification ID

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)

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Cited In (15)

• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Feynman formulas for nonlinear evolution equations
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• Multistep schemes for solving backward stochastic differential equations on GPU
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
• Deep Splitting Method for Parabolic PDEs
• A regression-based numerical scheme for backward stochastic differential equations
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• Filtering the Feynman--KAC Formula
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Reflected stochastic differential equations driven by G-Brownian motion in non-convex domains

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