Worst case complexity of multivariate Feynman--Kac path integration

DOI10.1016/S0885-064X(03)00048-7zbMath1058.65031OpenAlexW2085536377MaRDI QIDQ1887111

Youming Li, Marek Kwas

Publication date: 23 November 2004

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0885-064x(03)00048-7

zbMATH Keywords

algorithmnumerical exampleWiener measureMultivariate approximationMultivariate Feynman-Kac path integrationWorst case complexity

Mathematics Subject Classification ID

Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30)

Related Items

Finite-order weights imply tractability of linear multivariate problems, The quantum query complexity of elliptic PDE, Generalized tractability for multivariate problems. I: Linear tensor product problems and linear information, On applicability of the sparse grid method in the worst case setting, On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients, On the complexity of computing quadrature formulas for marginal distributions of SDEs, Quasi-polynomial tractability, The randomized information complexity of elliptic PDE, On the complexity of parabolic initial-value problems with variable drift, Polynomial-time algorithms for multivariate linear problems with finite-order weights: Average case setting, An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals

Cites Work

• Explicit cost bounds of algorithms for multivariate tensor product problems
• Worst case complexity of weighted approximation and integration over \(\mathbb{R}^d\)
• Applicability of Smolyak's algorithms to certain Banach spaces of multivariate functions.
• On approximate recovery of functions with bounded mixed derivative
• A new algorithm and worst case complexity for Feynman-Kac path integration.
• Unnamed Item
• Unnamed Item
• Unnamed Item