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

DOI10.1063/1.2046528MaRDI QIDQ3438649zbMATH OpenOpenAlexFDO

Authors Marek Kwas

Publication date 16 May 2007

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.2046528

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Path integrals in quantum mechanics (81S40)

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Cites work

• A new algorithm and worst case complexity for Feynman-Kac path integration.
• Approximation of Wiener integrals
• Deterministic and stochastic error bounds in numerical analysis
• Explicit cost bounds of algorithms for multivariate tensor product problems
• scientific article; zbMATH DE number 193625 (Why is no real title available?)
• scientific article; zbMATH DE number 1246413 (Why is no real title available?)
• Multidimensional Spline Approximation
• Spline approximation by quasiinterpolants
• Worst case complexity of multivariate Feynman--Kac path integration

Cited in

(6)

• An efficient backward Monte Carlo estimator for solving a quantum-kinetic equation with memory kernel
• Worst case complexity of multivariate Feynman--Kac path integration
• On the complexity of parabolic initial-value problems with variable drift
• The Feynman path goes Monte Carlo
• Forward-walking Green's Function Monte Carlo Method for Correlation Functions
• A new algorithm and worst case complexity for Feynman-Kac path integration.

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