A low-rank approach to the computation of path integrals

DOI10.1016/J.JCP.2015.11.009zbMATH Open1349.65549arXiv1504.06149OpenAlexW2162213884MaRDI QIDQ2374948FDOQ2374948

Authors: Mikhail S. Litsarev, Ivan Oseledets 

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: We present a method for solving the reaction-diffusion equation with general potential in free space. It is based on the approximation of the Feynman-Kac formula by a sequence of convolutions on sequentially diminishing grids. For computation of the convolutions we propose a fast algorithm based on the low-rank approximation of the Hankel matrices. The algorithm has complexity of $mathcalO(nrMlogM+n{r}^{2}M)$ flops and requires $mathcalO(Mr)$ floating-point numbers in memory, where $n$ is the dimension of the integral, $rlln$, and $M$ is the mesh size in one dimension. The presented technique can be generalized to the higher-order diffusion processes.

Full work available at URL: https://arxiv.org/abs/1504.06149

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zbMATH Keywords

convolutionlow-rank approximationFeynman-Kac formulapath integralmultidimensional integrationskeleton approximation

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• DEPOSIT
• Cross2d

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