%0 Journal Article
%T Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
%+ Unité de Mathématiques Appliquées (UMA)
%+ EDF R&D (EDF R&D)
%+ Laboratoire de Finance des Marchés d'Energie (FiME Lab)
%+ Optimisation et commande (OC)
%A Le Cavil, Anthony
%A Oudjane, Nadia
%A Russo, Francesco
%@ 0929-9629
%J Monte Carlo Methods and Applications
%I De Gruyter
%V 24
%N 1
%P 55-70
%8 2018
%D 2018
%Z 1709.04777
%R 10.1515/mcma-2018-0005
%K Semilinear Partial Differential Equations
%K Nonlinear Feynman-Kac type functional
%K Particle systems
%K Euler schemes
%Z 60H30; 60J60; 65C05; 65C35; 68U20; 35K58.
%Z Mathematics [math]/Probability [math.PR]Journal articles
%X The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.
%G English
%2 https://hal-ensta-paris.archives-ouvertes.fr/hal-01586861/document
%2 https://hal-ensta-paris.archives-ouvertes.fr/hal-01586861/file/Paper_Simulation20170911SubmittedMonteCarlo.pdf
%L hal-01586861
%U https://hal-ensta-paris.archives-ouvertes.fr/hal-01586861
%~ ENSTA
%~ UNIV-DAUPHINE
%~ INSMI
%~ UMA_ENSTA
%~ PSL
%~ UNIV-PARIS-SACLAY
%~ ENSTA-SACLAY
%~ EDF
%~ UNIV-DAUPHINE-PSL