Probability tree algorithm for general diffusion processes

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.

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Bibliographic Details
Published in:Physical review. E, Statistical, nonlinear, and soft matter physics Statistical, nonlinear, and soft matter physics, 2001-11, Vol.64 (5 Pt 2), p.056702-056702
Main Authors: Ingber, L, Chen, C, Mondescu, R P, Muzzall, D, Renedo, M
Format: Article
Language:English
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Summary: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.
ISSN:1539-3755
DOI:10.1103/PhysRevE.64.056702