Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations.

Authors

LE CAVIL Anthony
OUDJANE Nadia
RUSSO Francesco

Publication date

2017

Publication type

Other

Summary The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

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Topics of the publication

Semilinear Partial Differential Equations
Nonlinear Feynman-Kac type functional
Particle systems
Euler schemes
...

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