A New Algorithm and Worst Case Complexity for Feynman–Kac Path Integration

Author: Plaskota L.   Wasilkowski G.W.   Woźniakowski H.  

Publisher: Academic Press

ISSN: 0021-9991

Source: Journal of Computational Physics, Vol.164, Iss.2, 2000-11, pp. : 335-353

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Abstract