A low-rank approach to the computation of path integrals

DOI10.1016/j.jcp.2015.11.009zbMath1349.65549arXiv1504.06149OpenAlexW2162213884MaRDI QIDQ2374948

Mikhail S. Litsarev, Ivan V. Oseledets

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.06149

zbMATH Keywords

convolution path integral Feynman-Kac formula low-rank approximation multidimensional integration skeleton approximation

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Uses Software

DEPOSIT
Cross2d

Cites Work

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