An asymptotic expansion of the solution of a semi-linear partial differential equation implied by a nonlinear Feynman

登录注册会员服务联系我们

An asymptotic expansion of the solution of a semi-linear partial differential equation implied by a nonlinear Feynman–Kac formula

Published:2024-02-22 Issue: Volume: Page:
ISSN:2661-3352
Container-title:International Journal of Mathematics for Industry
language:en
Short-container-title:Int. J. Math. Ind.

Author:

Okuma Kaori¹

Affiliation:

1. Department of Mathematical Sciences, Ritsumeikan University, 1-1-1 Nojihigashi, Kusatsu, Shiga 525-8577, Japan

Abstract

This paper introduces an asymptotic expansion for the smooth solution of a semi-linear partial differential equation. Our scheme is based on Itô’s formula, Taylor’s expansion, nonlinear Feynman–Kac formula and some algebras.

Publisher

World Scientific Pub Co Pte Ltd

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2661335224500023

Reference6 articles.

1. A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis

2. Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula

3. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

4. Second order discretization of backward SDEs and simulation with the cubature method

5. Deep backward schemes for high-dimensional nonlinear PDEs

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP