Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
march, 2018
Publication type:
Paper in peer-reviewed journals
Journal:
Monte Carlo Methods and Applications., vol. 24 no 1, pp. 55-70
HAL:
arXiv:
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-2018,
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={2018 },
month={3},
volume={24 no 1 },
pages={55--70},
}