An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals

DOI10.1063/1.2046528zbMath1111.65004OpenAlexW1990235743MaRDI QIDQ3438649

Marek Kwas

Publication date: 16 May 2007

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

Full work available at URL: https://doi.org/10.1063/1.2046528

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Path integrals in quantum mechanics (81S40) Numerical integration (65D30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (1)

On the complexity of parabolic initial-value problems with variable drift

Cites Work

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• Deterministic and stochastic error bounds in numerical analysis
• Explicit cost bounds of algorithms for multivariate tensor product problems
• Approximation of Wiener integrals
• Spline approximation by quasiinterpolants
• Worst case complexity of multivariate Feynman--Kac path integration
• Multidimensional Spline Approximation
• A new algorithm and worst case complexity for Feynman-Kac path integration.

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