Probability Tree Algorithm for General Diffusion Processes

Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear 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

Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2001 erstellt
Other identifiers:	10.2139/ssrn.263079 [DOI]
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/10012742573