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

Anthony Le Cavil, Nadia Oudjane and Francesco Russo
to appear
Publication type:
Paper in peer-reviewed journals
Journal:
Monte Carlo Methods and Applications.
arXiv:
images/icons/icon_arxiv.png 1709.04777
Keywords :
Semilinear Partial Differential Equations; Nonlinear Feynman-Kac type functional; Particle systems; Euler schemes.
Abstract:
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.
BibTeX:
@article{LeC-Oud-Rus-2100,
    author={Anthony Le Cavil and Nadia Oudjane and Francesco Russo },
    title={Monte-Carlo Algorithms for Forward Feynman-Kac type 
           representation for semilinear nonconservative Partial 
           Differential Equations },
    doi={10.1515/mcma-2018-0005 },
    journal={Monte Carlo Methods and Applications. },
    year={to appear },
    month={9},
}