Probability Tree Algorithm for General Diffusion Processes

Motivated by a previous path-integral numerical algorithm for diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, an extremely fast accurate algorithm for developing probability distributions of general nonlinear Markovian-Gaussian diffusion processes

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Year of publication:	[2001]
Authors:	Ingber, Lester
Other Persons:	Chen, Colleen (contributor) ; Mondescu, Radu Paul (contributor) ; Muzzall, David (contributor) ; Renedo, Marco (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Physical Review E, Forthcoming Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012787639