Probability tree algorithm for general diffusion processes

Lester Ingber; Colleen Chen; Radu Paul Mondescu; David Muzzall; Marco Renedo

doi:10.1103/PhysRevE.64.056702

Probability tree algorithm for general diffusion processes

Lester Ingber, Colleen Chen, Radu Paul Mondescu, David Muzzall, and Marco Renedo

Phys. Rev. E 64, 056702 – Published 12 October 2001

Abstract

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.

Received 28 May 2001

DOI:https://doi.org/10.1103/PhysRevE.64.056702

Authors & Affiliations

Lester Ingber^1,2,*, Colleen Chen^1,†, Radu Paul Mondescu^1,‡, David Muzzall^1,§, and Marco Renedo^1,∥

¹DRW Investments, LLC, 311 South Wacker Drive, Suite 900, Chicago, Illinois 60606
²Lester Ingber Research, P.O. Box 06440, Sears Tower, Chicago, Illinois 60606

^*Email address: ingber@ingber.com, ingber@alumni.caltech.edu
^†Email address: cchen@drwinvestments.com
^‡Email address: rmondescu@drwtrading.com
^§Email address: dmuzzall@drwinvestments.com
^∥Email address: mrenedo@drwinvestments.com

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Vol. 64, Iss. 5 — November 2001

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Physical Review E

covering statistical, nonlinear, biological, and soft matter physics