Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
type: Item
instance of: scholarly article
title: Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
zbMATH Open document ID: 1033.60076
DOI: 10.1016/S1631-073X(03)00364-9
author: C. Costantini
author: Nicole El Karoui
author: Emmanuel Gobet
published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris
publication date: 2003-10-22T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1995412
zbMATH Keywords: Feynman-Kac's representation
zbMATH Keywords: time-space domain
zbMATH Keywords: shape optimization
reviewed by: Dominique Lépingle
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1995412