Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals

DOI10.1137/1129099zbMath0595.65024OpenAlexW2057749793MaRDI QIDQ3727240

G. N. Mil'shtejn, S. A. Gladyshev, Alexander D. Wentzell

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129099

zbMATH Keywords

Wiener processRunge-Kutta methodTaylor expansionWiener integralspiecewise constant approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Algorithms for approximation of functions (65D15) Numerical quadrature and cubature formulas (65D32) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Related Items (2)

Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations ⋮ Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions

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