2 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.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…