Paper: Probability tree algorithm for general diffusion processes

[Lester Ingber]

The following preprint is available:

          %A L. Ingber
          %A C. Chen
          %A R.P. Mondescu
          %A D. Muzzall
          %A M. Renedo
          %T Probability tree algorithm for general diffusion processes
          %J Physical Review E
          %P (to be published)
          %D 2001
          %O URL http://www.ingber.com/path01_pathtree.ps.gz

                                 ABSTRACT

        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.

-- 
 Prof. Lester Ingber      ingber at ingber.com      www.ingber.com
 ingber at alumni.caltech.edu       www.alumni.caltech.edu/~ingber