Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

DOI10.1007/S40072-016-0079-9zbMATH Open1368.65010arXiv1608.00832OpenAlexW2190148340MaRDI QIDQ523374FDOQ523374

Authors: Anthony Le Cavil, Nadia Oudjane, Francesco Russo 

Publication date: 20 April 2017

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

Abstract: We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an original interacting particle system for which we discuss the propagation of chaos. We consider a time-discretized approximation of this particle system to which we associate a random function which is proved to converge to a solution of a regularized version of a nonlinear PDE.

Full work available at URL: https://arxiv.org/abs/1608.00832

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zbMATH Keywords

convergencenumerical examplesnonlinear partial differential equationsparticle systemsChaos propagationMcKean-type nonlinear stochastic differential equationprobabilistic representation of PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cited In (8)

• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
• An overview on deep learning-based approximation methods for partial differential equations
• Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations
• McKean SDEs with singular coefficients
• Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
• Fokker-Planck equations with terminal condition and related McKean probabilistic representation
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

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