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most citedA deep branching solver for fully nonlinear partial differential equations

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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…