An algorithm for probabilistic solution of parabolic PDEs. Issue 4 (2nd October 2021)

• Record Type: Journal Article
• Authors: Haneche, M.; Djaballah, K.; Khaldi, K.
• Is Part Of: Sequential analysis. Volume 40:Issue 4(2021)
• Page Start: 441
• Page End: 465
• Publication Date: 2021-10-02
• Subjects: Feynman-Kac -- Monte Carlo method -- parabolic PDEs -- pseudorandom number -- quasi–Monte Carlo method -- stochastic differential equations -- weak-discrepancy sequences; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2021.2010403
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: The aim of this work is to approximate the trajectory solution of parabolic partial differential equations (PDEs) by the probabilistic method. This method is based on the representation of Feynman-Kac and Monte Carlo methods. As an alternative to classical Monte Carlo, here we employ quasi–Monte Carlo methods and propose some solutions to the problem of using this alternative through a more efficient algorithm than the classics.