Monte-Carlo Algorithms for 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 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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Submitted on : Wednesday, September 13, 2017 - 1:18:09 PM
Last modification on : Tuesday, March 6, 2018 - 3:57:47 PM
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  • HAL Id : hal-01586861, version 1
  • ARXIV : 1709.04777

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Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. 2017. ⟨hal-01586861⟩

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