• 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 with arbitrary gradient nonlinearities. This algorithm extends the classical Feynman-Kac formula to fully nonlinear PDEs using random trees that carry information on nonlinearities on their branches. It applies to functional, nonpolynomial nonlinearities that cannot be treated by standard branching arguments and deals with gradients of any orders, avoiding the integrability issues… 

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