1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2022
A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinea…
math.ST2008★ 1 cited
Stochastic analysis on Gaussian space applied to drift estimation
Nicolas Privault, Anthony Reveillac
In this paper we consider the nonparametric functional estimation of the drift of Gaussian processes using Paley-Wiener and Karhunen-Loève expansions. We construct efficient estima…