On Simulating Wiener Integrals and Their Expectations
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Publication:3416000
DOI10.1017/S0269964800001923zbMath1134.60348MaRDI QIDQ3416000
Andrzej Korzeniowski, Doyle L. Hawkins
Publication date: 19 January 2007
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)
Related Items (2)
On computer simulation of Feynman-Kac path-integrals ⋮ Application of the Feynman-Kac path integral method in finding the ground state of quantum systems
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- Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
- On the Rate of Convergence for the Invariance Principle
- Accurate Evaluation of Wiener Integrals
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