Probability tree algorithm for general diffusion processes.
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.
Ingber
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DRW Investments, LLC, 311 South Wacker Drive, Suite 900, Chicago, Illinois 60606, USA. ingber@ingber.com
Chen
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Mondescu
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Muzzall
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Renedo
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