On numerical integration by the shift and application to Wiener space (Q1194273): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On numerical integration by the shift and application to Wiener space |
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On numerical integration by the shift and application to Wiener space (English)
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27 September 1992
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For the computation of expectations (e.g. functionals of solutions of stochastic differential equations) a method based on the pointwise ergodic theorem of Birkhoff and the shift operator is studied. It is shown that for the speed of convergence a law of iterated logarithm holds.
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pointwise ergodic theorem
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shift operator
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speed of convergence
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law of iterated logarithm
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