Some new simulations schemes for the evaluation of Feynman-Kac representations
Abstract
We describe new variants of the Euler scheme and of the walk on spheres method for the Monte Carlo computation of Feynman-Kac representations. We optimize these variants using quantization for both source and boundary terms. Numerical tests are given on basic examples and on Monte Carlo versions of spectral methods for the Poisson equation. We especially introduce a new stochastic spectral formulation with very good properties in terms of conditioning.
Domains
Probability [math.PR]
Origin : Files produced by the author(s)
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