Feynman-Kac Representation of Fully Nonlinear PDEs and Applications
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2015/05/31
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Journal
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Indian UGC (journal)
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Refrences36
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Citations9
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Huyên Pham
Journal Category
Science
Mathematics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
A numerical algorithm for fully nonlinear HJB equations:
An approach by control randomization | Monte Carlo Methods and Applications | 47 | 2014 | |
| Discrete-time approximation of decoupled Forward–Backward SDE with jumps | Stochastic Processes and their Applications |
| 86 | 2008 |
| Adapted solution of a backward stochastic differential equation | Systems & Control Letters |
| 1,512 | 1990 |
| Wellposedness of second order backward SDEs | Probability Theory and Related Fields |
| 170 | 2011 |
| 10.1137/07069849X | SIAM Journal on Control and Optimization |
| 2009 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Numerical approximation based on deep convolutional neural network for high‐dimensional fully nonlinear merged PDEs and 2BSDEs | Mathematical Methods in the Applied Sciences |
| 2024 | |
| Time recursive control of stochastic dynamical systems using forward dynamics and applications | International Journal of Mechanical Sciences |
| 1 | 2022 |
Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations | Journal of Numerical Mathematics |
| 2022 | |
Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning | Nonlinearity |
| 36 | 2021 |
| Deep Splitting Method for Parabolic PDEs | SIAM Journal on Scientific Computing |
| 2021 |
Citations Analysis
The category
Science: Mathematics 8
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A regression-based numerical scheme for backward stochastic differential equations and was published in 2017. The most recent citation comes from a 2024 study titled Numerical approximation based on deep convolutional neural network for high‐dimensional fully nonlinear merged PDEs and 2BSDEs. This article reached its peak citation in 2022, with 2 citations. It has been cited in 9 different journals. Among related journals, the Mathematical Methods in the Applied Sciences cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.