Probability tree algorithm for general diffusion processes
Computational Physics
2009-11-07 v1 Data Analysis, Statistics and Probability
Abstract
Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear diffusion processes.
Cite
@article{arxiv.physics/0103013,
title = {Probability tree algorithm for general diffusion processes},
author = {L. Ingber and C. Chen and R. P. Mondescu and D. Muzzall and M. Renedo},
journal= {arXiv preprint arXiv:physics/0103013},
year = {2009}
}