A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders

• المؤلفون الرئيسيون: Nguwi, Jiang Yu, Penent, Guillaume, Privault, Nicolas
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Science::Mathematics; Fully Nonlinear PDEs; Quasilinear PDEs
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/168977

We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman–Kac formula to fully nonlinear partial differential equations, by using random trees that carry information on nonlinearities on their branches. It a...