Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations

Anthony Le Cavil; Nadia Oudjane; Francesco Russo

doi:10.1515/mcma-2018-0005

Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations

Anthony Le Cavil
, Nadia Oudjane
, Francesco Russo

Université Paris-Saclay
Laboratoire de Finance des Marchés de l’énergie

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

The paper is devoted to the construction of a probabilistic particle algorithm. This is related to a nonlinear forward Feynman-Kac-type equation, which represents the solution of a nonconservative semilinear parabolic partial differential equation (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

Original language	English
Pages (from-to)	55-70
Number of pages	16
Journal	Monte Carlo Methods and Applications
Volume	24
Issue number	1
DOIs	https://doi.org/10.1515/mcma-2018-0005
Publication status	Published - 1 Mar 2018
Externally published	Yes

Keywords

Euler schemes
Nonlinear Feynman-Kac-type functional
Particle systems
Semilinear partial differential equations

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10.1515/mcma-2018-0005

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title = "Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations",

abstract = "The paper is devoted to the construction of a probabilistic particle algorithm. This is related to a nonlinear forward Feynman-Kac-type equation, which represents the solution of a nonconservative semilinear parabolic partial differential equation (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.",

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AU - Le Cavil, Anthony

AU - Oudjane, Nadia

AU - Russo, Francesco

PY - 2018/3/1

Y1 - 2018/3/1

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AB - The paper is devoted to the construction of a probabilistic particle algorithm. This is related to a nonlinear forward Feynman-Kac-type equation, which represents the solution of a nonconservative semilinear parabolic partial differential equation (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

KW - Euler schemes

KW - Nonlinear Feynman-Kac-type functional

KW - Particle systems

KW - Semilinear partial differential equations

U2 - 10.1515/mcma-2018-0005

DO - 10.1515/mcma-2018-0005

M3 - Article

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SN - 0929-9629

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EP - 70

JO - Monte Carlo Methods and Applications

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IS - 1

ER -

Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations

Abstract

Keywords

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