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...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2023
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/168977 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |