Probability Tree Algorithm for General Diffusion Processes

12 Pages Posted: 13 Mar 2001

See all articles by Lester Ingber

Lester Ingber

Physical Studies Institute LLC

Colleen Chen

DRW Trading Group

Radu Paul Mondescu

DRW Trading Group

David Muzzall

DRW Trading Group

Marco Renedo

Bank of America - Quantitative Research

Multiple version iconThere are 3 versions of this paper

Date Written: October 2001

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.

Keywords: path integral; statistical mechanics

JEL Classification: C32, C53, C61, C63

Suggested Citation

Ingber, Lester and Chen, Colleen and Mondescu, Radu P. and Muzzall, David and Renedo, Marco Antonio, Probability Tree Algorithm for General Diffusion Processes (October 2001). Available at SSRN: https://ssrn.com/abstract=263079 or http://dx.doi.org/10.2139/ssrn.263079

Lester Ingber (Contact Author)

Physical Studies Institute LLC ( email )

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Colleen Chen

DRW Trading Group ( email )

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Radu P. Mondescu

DRW Trading Group ( email )

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HOME PAGE: http://www.drwtrading.com/

David Muzzall

DRW Trading Group ( email )

540 W. Madison Street
Suite 2500
Chicago, IL 60661
United States

Marco Antonio Renedo

Bank of America - Quantitative Research ( email )

233 South Wacker Drive, Suite 2800
Chicago, IL 60606
United States

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