3 papers
math.PR2021
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
Lucas Izydorczyk, Nadia Oudjane, Francesco Russo
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to gene…
math.AP2020
Fokker-Planck equations with terminal condition and related McKean probabilistic representation
Lucas Izydorczyk, Nadia Oudjane, Francesco Russo +1
Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem…
math.PR2019
McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
Lucas Izydorczyk, Nadia Oudjane, Francesco Russo
This paper presents a partial state of the art about the topic of representation of generalized Fokker-Planck Partial Differential Equations (PDEs) by solutions of McKean Feynman-K…