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Feynman-Kac representation of fully nonlinear PDEs and applications

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.
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https://hal.archives-ouvertes.fr/hal-01059852
Contributor : Huyên Pham <>
Submitted on : Tuesday, September 2, 2014 - 10:01:28 AM
Last modification on : Friday, March 27, 2020 - 2:55:55 AM
Document(s) archivé(s) le : Wednesday, December 3, 2014 - 10:42:22 AM

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  • HAL Id : hal-01059852, version 1
  • ARXIV : 1409.0625

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Huyen Pham. Feynman-Kac representation of fully nonlinear PDEs and applications. 2014. ⟨hal-01059852⟩

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