【摘 要】
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The Feynman-Kac theorem expresses solutions to highdimensional parabolic PDEs as expectations of functionals of Brownian diffusions.Existing methods using t
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The Feynman-Kac theorem expresses solutions to highdimensional parabolic PDEs as expectations of functionals of Brownian diffusions.Existing methods using the Euler-Maruyama discretisation achieve O(eps)RMS accuracy at a cost which is O((ε)-3).
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