Probability tree algorithm for general diffusion processes

Details Probability tree algorithm for general diffusion processes Probability tree algorithm for general diffusion processes

2001-03-06

arxiv.org/abs/physics/0103013v1

Physics

Computational Physics

Scientific paper

10.1103/PhysRevE.64.056702

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.

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