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...

Full description

Bibliographic Details
Main Author:	Litterer, Christian
Published:	University of Oxford 2008
Subjects:	518.1
Online Access:	http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490103

id	ndltd-bl.uk-oai-ethos.bl.uk-490103
record_format	oai_dc
spelling	ndltd-bl.uk-oai-ethos.bl.uk-4901032015-03-20T06:25:42ZThe Signature in Numerical AlgorithmsLitterer, Christian2008Particle 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.518.1University of Oxfordhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490103Electronic Thesis or Dissertation
collection	NDLTD
sources	NDLTD
topic	518.1
spellingShingle	518.1 Litterer, Christian The Signature in Numerical Algorithms
description	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.
author	Litterer, Christian
author_facet	Litterer, Christian
author_sort	Litterer, Christian
title	The Signature in Numerical Algorithms
title_short	The Signature in Numerical Algorithms
title_full	The Signature in Numerical Algorithms
title_fullStr	The Signature in Numerical Algorithms
title_full_unstemmed	The Signature in Numerical Algorithms
title_sort	signature in numerical algorithms
publisher	University of Oxford
publishDate	2008
url	http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490103
work_keys_str_mv	AT littererchristian thesignatureinnumericalalgorithms AT littererchristian signatureinnumericalalgorithms
_version_	1716796758435037184

The Signature in Numerical Algorithms

Similar Items