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Rapidly convergent compound formulas for approximate evaluation of Wiener path integrals (Q1571258)

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scientific article; zbMATH DE number 1472984
Language Label Description Also known as
English
Rapidly convergent compound formulas for approximate evaluation of Wiener path integrals
scientific article; zbMATH DE number 1472984

    Statements

    title
    Rapidly convergent compound formulas for approximate evaluation of Wiener path integrals (English)
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    author
    N. Delaunay
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    publication date
    25 September 2001
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    review text
    The authors construct a compound formula for approximate evaluation of Wiener path integrals. The convergence of this formula is examined. An approximate error estimate is obtained. The formula converges at a rate of \(O(1/n^4)\) in the class of path polynomials of arbitrary degree, where \(n\) is an integer-valued parameter of the formula.
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    zbMATH Keywords
    random process
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    convergence
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    compound formula
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    Wiener path integrals
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    error estimate
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    reviewed by
    A. Tret'yakov
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    Identifiers

    Mathematics Subject Classification ID
    65C50
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    60H05
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    60E10
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    65D32
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    zbMATH DE Number
    1472984
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