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

Journal of Mathematical Physics

Volumn 46, Issue 10, 2005, Pages

  Kwas, Marek ^a,b,c  

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

^b UNIVERSITY OF WARSAW   (Poland)

^c UNIVERSITY OF INFORMATION TECHNOLOGY AND MANAGEMENT   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 27844582992     PISSN: 00222488     EISSN: None     Source Type: Journal    
DOI: 10.1063/1.2046528     Document Type: Article

References (14)

1. M. Kwas and Y. Li, J. Complex. 19, 730 (2003).
2. A. J. Chorin, Math. Comput. 27, 1 (1973).
3. O. H. Hald, J. Comput. Phys. 69, 460 (1987).
4. L. Plaskota, G. W. Wasilkowski, and H. Wożniakowski, J. Comput. Phys. 164, 335 (2000).
5. M. Kwas (unpublished).
6. J. F. Traub and A. G. Werschulz, Complexity and Information (Cambridge University Press, Cambridge, MA, 1998).
7. J. F. Traub, G. W. Wasilkowski, and H. Wożniakowski, Information-Based Complexity (Academic, New York, 1988).
8. S. E. S. I. Karatzas, Brownian Motion and Stochastic Calculus (Springer, Berlin, 1988).
9. D. Revuz and M. Yor, Continuous Martingales and Brownian Motion (Springer, Berlin, 1991).
10. H.-H. Kuo, Gaussian Measures in Banach Spaces (Springer, Berlin, 1995).
11. E. Novak, Deterministic and Stochastic Error Bounds in Numerical Analysis, Lecture Notes in Mathematics Vol. 1349 (Springer, New York, 1988).
12. G. W. Wasilkowski and H. Wożniakowski, J. Complex. 11, 1 (1995).
13. C. de Boor and G. Fix, J. Approx. Theory 8, 19 (1973).
14. W. Dahmen, R. DeVore, and K. Scherer, SIAM (Soc. Ind. Appl. Math.) J. Numer. Anal. 17, 380 (1980).