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Preprints of the Keldysh Institute of Applied Mathematics, 2023, 021, 15 pp.
DOI: https://doi.org/10.20948/prepr-2023-21
(Mi ipmp3144)
 

This article is cited in 1 scientific paper (total in 1 paper)

Approximate solution of multidimensional Kolmogorov equation using Feynman-Chernoff iterations

R. Sh. Kalmetev
References:
Abstract: In this paper we propose a new algorithm for the numerical approximation of solutions to the multidimensional Kolmogorov equation, based on the averaging of Feynman-Chernoff iterations for random operator-valued functions. In the case when the values of operator-valued functions belong to the representation of some finite-dimensional Lie group, the proposed algorithm has a lower computational complexity compared to the standard Monte Carlo algorithm that uses the Feynman-Kac formula. In particular, we study the case of a group of affine transformations of a Euclidean space. For the considered algorithms we also present the results of numerical calculations.
Keywords: Feynman-Chernoff iterations, operator-valued random process, Feynman-Kac formula, Monte Carlo method, Kolmogorov equation.
Document Type: Preprint
Language: Russian
Citation: R. Sh. Kalmetev, “Approximate solution of multidimensional Kolmogorov equation using Feynman-Chernoff iterations”, Keldysh Institute preprints, 2023, 021, 15 pp.
Citation in format AMSBIB
\Bibitem{Kal23}
\by R.~Sh.~Kalmetev
\paper Approximate solution of multidimensional Kolmogorov equation using Feynman-Chernoff iterations
\jour Keldysh Institute preprints
\yr 2023
\papernumber 021
\totalpages 15
\mathnet{http://mi.mathnet.ru/ipmp3144}
\crossref{https://doi.org/10.20948/prepr-2023-21}
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  • https://www.mathnet.ru/eng/ipmp/y2023/p21
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Препринты Института прикладной математики им. М. В. Келдыша РАН
     
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