Some new simulations schemes for the evaluation of Feynman-Kac representations

Sylvain Maire 1 Etienne Tanré 1
1 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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.
Document type :
Journal articles
Complete list of metadatas

Cited literature [21 references]  Display  Hide  Download

https://hal.inria.fr/inria-00182436
Contributor : Etienne Tanré <>
Submitted on : Friday, October 26, 2007 - 8:00:41 AM
Last modification on : Thursday, October 10, 2019 - 1:16:29 AM
Long-term archiving on : Monday, September 24, 2012 - 2:36:54 PM

File

quanti2007.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Sylvain Maire, Etienne Tanré. Some new simulations schemes for the evaluation of Feynman-Kac representations. Monte Carlo Methods and Applications, De Gruyter, 2008, 14 (1), pp.29--51. ⟨10.1515/MCMA.2008.002⟩. ⟨inria-00182436⟩

Share

Metrics

Record views

544

Files downloads

544