60 citations · 107 across the 25 of their papers we have counts for
4 papers · 1 filter
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinea…
Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Lecavil, Anthony Le Cavil, Nadia Oudjane +1
We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a non-conservative semilinear parabolic Partial Differential Equations (PDE). We show in…
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan +2
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP eq…
Unbiased Monte Carlo estimate of stochastic differential equations expectations
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
We develop a pure Monte Carlo method to compute where is a bounded and Lipschitz function and an Ito process. This approach extends a previously proposed meth…