title: Probability tree algorithm for general diffusion processes.
abstract: Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear diffusion processes.
authors.affiliation: DRW Investments, LLC, 311 South Wacker Drive, Suite 900, Chicago, Illinois 60606, USA. ingber@ingber.com
authors.forename: L
authors.initials: L
authors.lastname: Ingber
authors.forename: C
authors.initials: C
authors.lastname: Chen
authors.forename: R P
authors.initials: RP
authors.lastname: Mondescu
authors.forename: D
authors.initials: D
authors.lastname: Muzzall
authors.forename: M
authors.initials: M
authors.lastname: Renedo