Generalization of Feynman-Kac formula for nonlinear and BVP problems

9 junho 2010, 10:00 • Juan António Acebron de Torres

The generalization of the Feynman-Kac formula for nonlinear parabolic problems based on forward-backward stochastic differential equations(FBSDEs) has been introduced. Moreover, several numerical methods for solving FBSDEs has been shown. Finally, it has been discussed how a boundary value parabolic problem can be solved by mean of the generalized Feynman-Kac formula, and analyzed several methods to compute accurately the first exit time.