Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Anthony Le Cavil; Nadia Oudjane; Francesco Russo

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arXiv · 1709.04777

Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Anthony Le Cavil·Nadia Oudjane·Francesco Russo

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Abstract

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

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Anthony Le Cavil, Nadia Oudjane, Francesco Russo. 2017-09-13. Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. https://arxiv.org/abs/1709.04777

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