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On computer simulation of Feynman-Kac path-integrals

✍ Scribed by Andrzej Korzeniowski


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
213 KB
Volume
66
Category
Article
ISSN
0377-0427

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We study algorithms for approximation of Feynman-Kac path integrals in the worst case setting. The algorithms use a finite number of samples of the initial condition and potential functions. We present a new algorithm and an explicit bound on its cost to compute an Ξ΅-approximation to the Feynman-Kac