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

@inproceedings{Penent2022AFN, title={A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders}, author={Guillaume Penent and Nicolas Privault}, year={2022} }

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…

## 3 Citations

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