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Probability tree algorithm for general diffusion processes
L Ingber1, C Chen, R P Mondescu
1DRW Investments, LLC, 311 South Wacker Drive, Suite 900, Chicago, Illinois 60606, USA. ingber@ingber.com
Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
|December 12, 2001
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.