Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations

Anthony Le Cavil; Nadia Oudjane; Francesco Russo

doi:10.1080/17442508.2019.1594809

Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations

Anthony Le Cavil
, Nadia Oudjane
, Francesco Russo

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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

6 Citations (Scopus)

Résumé

We propose a non-linear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness. The solution of that type of equation can be approached via a weighted particle system.

langue originale	Anglais
Pages (de - à)	1206-1248
Nombre de pages	43
journal	Stochastics
Volume	91
Numéro de publication	8
Les DOIs	https://doi.org/10.1080/17442508.2019.1594809
état	Publié - 17 nov. 2019
Modification externe	Oui

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10.1080/17442508.2019.1594809

Contient cette citation

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title = "Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations",

abstract = "We propose a non-linear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness. The solution of that type of equation can be approached via a weighted particle system.",

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AU - Russo, Francesco

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KW - 60H30

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KW - 65C35

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KW - nonlinear Feynman-Kac type functional

KW - particle systems

KW - probabilistic representation of PDEs

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Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations

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