The Brownian Fan

DOI10.1002/cpa.21544zbMath1302.60106arXiv1404.2928WikidataQ56894178 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 formula; rare event simulation; continuous time filtering; modified diffusion Monte Carlo

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

65C35: Stochastic particle methods

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs

Related Items

Error estimates on ergodic properties of discretized Feynman-Kac semigroups, Improved Diffusion Monte Carlo

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