A new algorithm and worst case complexity for Feynman-Kac path integration

Journal of Computational Physics

Volumn 164, Issue 2, 2000, Pages 335-353

  Plaskota, Leszek ^a   Wasilkowski, Grzegorz W ^b   Woźniakowski, Henryk ^a,c  

^a UNIVERSITY OF WARSAW   (Poland)

^b UNIVERSITY OF KENTUCKY   (United States)

^c Department of Earth and Environmental Sciences   (United States)

Author keywords

Feynman Kac path integration; Multivariate approximation; Wiener measure; Worst case complexity

Indexed keywords

APPROXIMATION ALGORITHMS; INTEGRAL EQUATIONS; INTEGRATION; QUANTUM THEORY;

FEYNMAN-KAC PATH INTEGRATION; FINITE NUMBER; INITIAL CONDITIONS; MULTIVARIATE APPROXIMATIONS; NUMBER OF SAMPLES; PATH INTEGRAL; PATH INTEGRATION; PRE-COMPUTATION; WIENER MEASURE; WORST-CASE COMPLEXITY;

COMPUTATIONAL COMPLEXITY;

EID: 0006726071     PISSN: 00219991     EISSN: None     Source Type: Journal    
DOI: 10.1006/jcph.2000.6599     Document Type: Article

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