Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

DOI10.1016/j.jcp.2003.12.001zbMath1059.65007OpenAlexW1999431993MaRDI QIDQ598147

Grigori N. Milstein, M. V. Tretyakov

Publication date: 6 August 2004

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2003.12.001

zbMATH Keywords

Wiener processesstochastic differential equationsMonte Carlo simulationvariance reductionFeynman path integralsconditional Wiener integralsexponential type functionalsRunge-Kutta type method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Vector-valued set functions, measures and integrals (28B05) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15)

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Uses Software

• RODAS

Cites Work

• Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
• On the approximation of Feynman-Kac path integrals
• Monte Carlo construction of hedging strategies against multi-asset European claims
• Integration in Functional Spaces and its Applications in Quantum Physics
• Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals
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