Monte-Carlo algorithms for a forward Feynman–Kac-type representation for semilinear nonconservative partial differential equations

Le Cavil Anthony (), Oudjane Nadia () and Russo Francesco ()
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Le Cavil Anthony: ENSTA ParisTech, Université Paris-Saclay, Unité de Mathématiques Appliquées (UMA), 828 Bd. des Maréchaux, 91120 Palaiseau, France
Oudjane Nadia: EDF Lab Paris-Saclay and FiME, Laboratoire de Finance des Marchés de l’Energie, 7 Boulevard Gaspard Monge, 91120 Palaiseau, France
Russo Francesco: ENSTA ParisTech, Université Paris-Saclay, Unité de Mathématiques Appliquées (UMA), 828 Bd. des Maréchaux, 91120 Palaiseau, France

Monte Carlo Methods and Applications, 2018, vol. 24, issue 1, 55-70

Abstract: The paper is devoted to the construction of a probabilistic particle algorithm. This is related to a nonlinear forward Feynman–Kac-type equation, which represents the solution of a nonconservative semilinear parabolic partial differential equation (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

Keywords: Semilinear partial differential equations; nonlinear Feynman–Kac-type functional; particle systems; Euler schemes (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/mcma-2018-0005

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