Filtering the Feynman--KAC Formula (Q4539411)
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scientific article; zbMATH DE number 1764399
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering the Feynman--KAC Formula |
scientific article; zbMATH DE number 1764399 |
Statements
Filtering the Feynman--KAC Formula (English)
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8 July 2002
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generalized heat equation
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numerical integration
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Feynman-Kac formula
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functionals of Brownian motion
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Monte Carlo integration
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accuracy
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computational complexity
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variance reduction
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stochastic algorithms
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comparison of methods
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filtering
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