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

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

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Publication:6387956

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DOI10.1007/S00028-023-00873-3zbMath1510.35020arXiv2201.03882MaRDI QIDQ6387956

Guillaume Penent, Nicolas Privault, Jiang Yu Nguwi

Publication date: 11 January 2022

Mathematics Subject Classification ID

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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