Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Probability
2017-09-15 v1
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.
Cite
@article{arxiv.1709.04777,
title = {Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations},
author = {Anthony Le Cavil and Nadia Oudjane and Francesco Russo},
journal= {arXiv preprint arXiv:1709.04777},
year = {2017}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1608.04871