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

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

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...

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書目詳細資料
Main Authors:	Nguwi, Jiang Yu, Penent, Guillaume, Privault, Nicolas
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2023
主題:	Science::Mathematics Fully Nonlinear PDEs Quasilinear PDEs
在線閱讀:	https://hdl.handle.net/10356/168977
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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