Worst case complexity of multivariate Feynman--Kac path integration
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Publication:1887111
DOI10.1016/S0885-064X(03)00048-7zbMath1058.65031OpenAlexW2085536377MaRDI QIDQ1887111
Publication date: 23 November 2004
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0885-064x(03)00048-7
algorithmnumerical exampleWiener measureMultivariate approximationMultivariate Feynman-Kac path integrationWorst case complexity
Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30)
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Cites Work
- Explicit cost bounds of algorithms for multivariate tensor product problems
- Worst case complexity of weighted approximation and integration over \(\mathbb{R}^d\)
- Applicability of Smolyak's algorithms to certain Banach spaces of multivariate functions.
- On approximate recovery of functions with bounded mixed derivative
- A new algorithm and worst case complexity for Feynman-Kac path integration.
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