The Brownian Fan

DOI10.1002/cpa.21544zbMath1302.60106arXiv1404.2928OpenAlexW1984720857WikidataQ56894178 ScholiaQ56894178MaRDI QIDQ2935412

Jonathan Weare, Martin Hairer

Publication date: 29 December 2014

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2928

zbMATH Keywords

Feynman-Kac formularare event simulationcontinuous time filteringmodified diffusion Monte Carlo

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic particle methods (65C35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Error estimates on ergodic properties of discretized Feynman-Kac semigroups

Cites Work

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