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The method of Feynman-Kac formula discussed in Chap. 9 translates the process of obtaining the solution of PDEs, e.g. theGreen’s operator FPK equation, to the problem of solving an integral equation without the need to evaluate derivatives for the PDEs. The resulting integral equation involves the expectation of nonlinear functions and the unknown probability density function. The numerical solution of the integral equation is still a non-trivial task.

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Green’s Operator

  • 章节

  • 发表日期：

    2025年

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  • Jian-Qiao Sun

摘要

The method of Feynman-Kac formula discussed in Chap. 9 translates the process of obtaining the solution of PDEs, e.g. theGreen’s operator FPK equation, to the problem of solving an integral equation without the need to evaluate derivatives for the PDEs. The resulting integral equation involves the expectation of nonlinear functions and the unknown probability density function. The numerical solution of the integral equation is still a non-trivial task.