The Brownian Fan

DOI10.1002/cpa.21544zbMath1302.60106arXiv1404.2928OpenAlexW1984720857WikidataQ56894178 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 formularare event simulationcontinuous time filteringmodified diffusion Monte Carlo

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic particle methods (65C35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Error estimates on ergodic properties of discretized Feynman-Kac semigroups

Cites Work

• Geodesics in large planar maps and in the Brownian map
• Ecole d'Eté de probabilités de Saint-Flour XXI - 1991, du 18 Août au 4 Septembre, 1991
• The continuum random tree. I
• A new transportation distance between non-negative measures, with applications to gradients flows with Dirichlet boundary conditions
• The Virgin Island model
• Differential equations driven by fractional Brownian motion
• The Brownian web: characterization and convergence
• The rate of convergence of a random walk to Brownian motion
• The topological structure of scaling limits of large planar maps
• The Brownian net
• On the sufficiency of \(c\)-cyclical monotonicity for optimality of transport plans
• Exact Kolmogorov and total variation distances between some familiar discrete distributions
• A decomposition of Bessel Bridges
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