Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations - ENSTA Paris - École nationale supérieure de techniques avancées Paris
Pré-Publication, Document De Travail Année : 2016

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

Résumé

We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a non-conservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness in the first part of the article. The second part is devoted to the construction of a probabilistic particle algorithm and the proof of its convergence. Illustrations of the efficiency of the algorithm are provided by numerical experiments.
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Dates et versions

hal-01353757 , version 1 (12-08-2016)
hal-01353757 , version 2 (07-07-2017)
hal-01353757 , version 3 (13-09-2017)
hal-01353757 , version 4 (03-10-2018)

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Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. 2016. ⟨hal-01353757v1⟩
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