The Signature in Numerical Algorithms
Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte-Carlo paradigm these methods can be of higher order with effective and transparent error bounds. A weakness of particle methods (parti...
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University of Oxford
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490103 |
| Summary: | Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte-Carlo paradigm these methods can be of higher order with effective and transparent error bounds. A weakness of particle methods (particularly in the higher order case) is the tendency for the number of particles to explode if the process is iterated and accuracy preserved. |
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