Approximation of Wiener integrals

DOI10.1016/0021-9991(87)90177-XzbMath0614.65149OpenAlexW2053090418MaRDI QIDQ1819921

Ole Hansen Hald

Publication date: 1987

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(87)90177-x

zbMATH Keywords

numerical examplequadrature formulaWiener integralFeynman-Kac formulaBrownian paths

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical quadrature and cubature formulas (65D32) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Unnamed Item
• Hermite expansions in Monte-Carlo computation
• Functional Integration and Partial Differential Equations. (AM-109)
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Corrigenda