A low-rank approach to the computation of path integrals
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Publication:2374948
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 flops and requires floating-point numbers in memory, where is the dimension of the integral, , and is the mesh size in one dimension. The presented technique can be generalized to the higher-order diffusion processes.
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