• Corpus ID: 245853949

A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders

  title={A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders},
  author={Guillaume Penent and Nicolas Privault},
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinear partial differential equations, by using random trees that carry information on nonlinearities on their branches. It applies to functional, non-polynomial nonlinearities that are not treated by standard branching arguments, and deals with derivative terms of arbitrary orders. A Monte Carlo numerical implementation is… 

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