Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain (Q1409733)
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scientific article; zbMATH DE number 1995412
| Language | Label | Description | Also known as |
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| English | Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain |
scientific article; zbMATH DE number 1995412 |
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Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain (English)
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22 October 2003
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The sensitivity analysis with respect to the domain of the solution to a partial differential equation (PDE) is an old issue. The case of elliptic PDEs is well known. Previous works have tackled the parabolic case for the Laplacian in a cylindrical domain. With stochastic analysis as a tool, this note deals with more general diffusion processes and non cylindrical time-space domains. The probabilistic method makes it possible to design Monte Carlo procedures for simulation.
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Feynman-Kac's representation
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time-space domain
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shape optimization
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