"Feynman-Kac formula"의 두 판 사이의 차이
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* One possible source is the book of Brian Hall on quantum mechanics for mathematicians. | * One possible source is the book of Brian Hall on quantum mechanics for mathematicians. | ||
* Another possibility is the series on functional analysis by Reed and Simon | * Another possibility is the series on functional analysis by Reed and Simon | ||
| + | * [[Fokker–Planck equation]] | ||
2014년 9월 15일 (월) 19:11 판
introduction
- The classical Feynman-Kac formula states the connection between
- linear parabolic partial differential equations (PDEs), like the heat equation, and
- expectation of stochastic processes driven by Brownian motion
- It gives then a method for solving linear PDEs by Monte Carlo simulations of random processes
memo
- One possible source is the book of Brian Hall on quantum mechanics for mathematicians.
- Another possibility is the series on functional analysis by Reed and Simon
- Fokker–Planck equation
articles
- Pham, Huyen. “Feynman-Kac Representation of Fully Nonlinear PDEs and Applications.” arXiv:1409.0625 [math], September 2, 2014. http://arxiv.org/abs/1409.0625.