60 citations · 98 across the 8 of their papers we have counts for
4 papers · 1 filter
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…
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…
Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a…
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Anthony Lecavil, Nadia Oudjane, Francesco Russo
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We disc…