论文标题
完全非线性的Feynman-kac公式，具有任意命令的导数
A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
论文作者
论文摘要
我们提出了一种用于非线性抛物线部分微分方程的数值解的算法。该算法通过使用随机树在其分支上携带信息的随机树，将经典的Feynman-kac公式扩展到完全非线性的部分微分方程。它适用于不受标准分支参数处理的功能性非物质非线性，并涉及任意命令的衍生术语。提供了蒙特卡洛数值实施。
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 provided.
