The Brownian Fan
DOI10.1002/cpa.21544zbMath1302.60106arXiv1404.2928WikidataQ56894178 ScholiaQ56894178MaRDI QIDQ2935412
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
Feynman-Kac formula; rare event simulation; continuous time filtering; modified diffusion Monte Carlo
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
Cites Work
- Unnamed Item
- Unnamed Item
- 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
- Improved Diffusion Monte Carlo
- A decomposition of Bessel Bridges