Accurate Evaluation of Wiener Integrals

DOI10.2307/2005242MaRDI QIDQ5671563zbMATH OpenOpenAlexFDO

Authors Alexandre J. Chorin

Publication date 1973

Full work available at URL https://doi.org/10.2307/2005242

Mathematics Subject Classification ID

Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Numerical integration (65D30) Numerical methods for integral equations (65R20)

Cites work

• A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
• Approximation of a Class of Wiener Integrals
• Hermite expansions in Monte-Carlo computation
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• Integration in Functional Spaces and its Applications in Quantum Physics
• Numerical Evaluation of Wiener Integrals
• Random Time
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

Cited in

(8)

• An extension of the Black-Scholes model of security valuation
• Conditional expectations of Brownian functionals and their applications
• Optimal prediction for Hamiltonian partial differential equations
• Quadrature formulas for the Wiener measure
• Importance sampling for Kolmogorov backward equations
• A domain-theoretic approach to Brownian motion and general continuous stochastic processes
• On Simulating Wiener Integrals and Their Expectations
• A new algorithm and worst case complexity for Feynman-Kac path integration.

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