Probability Tree Algorithm for General Diffusion Processes
12 Pages Posted: 13 Mar 2001
Date Written: October 2001
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: Suggested Citation