Filtering the Feynman--KAC Formula

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DOI10.1137/S0036142900374032zbMath1027.65002MaRDI QIDQ4539411

Bennett L. Fox

Publication date: 8 July 2002

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

computational complexity comparison of methods numerical integration accuracy filtering variance reduction Feynman-Kac formula Monte Carlo integration stochastic algorithms generalized heat equation functionals of Brownian motion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65)

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