A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
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Publication:2690084
DOI10.1007/s00028-023-00873-3OpenAlexW4321851684MaRDI QIDQ2690084
Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault
Publication date: 15 March 2023
Published in: Journal of Evolution Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.03882
branching processesfully nonlinear PDEsMonte-Carlo methodparabolic PDEsquasilinear PDEssemilinear PDEsgradient nonlinearities
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Smoothness and regularity of solutions to PDEs (35B65) Nonlinear parabolic equations (35K55) Applications of branching processes (60J85) Theoretical approximation in context of PDEs (35A35)
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