Approximation of Wiener integrals

DOI10.1016/0021-9991(87)90177-XMaRDI QIDQ1819921zbMATH OpenOpenAlexFDO

Authors Ole H. Hald

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0021-9991(87)90177-x

zbMATH Keywords

Feynman-Kac formulanumerical examplequadrature formulaWiener integralBrownian paths

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32) Brownian motion (60J65) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cites work

• scientific article; zbMATH DE number 3094600 (Why is no real title available?)
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Corrigenda
• Functional Integration and Partial Differential Equations. (AM-109)
• Hermite expansions in Monte-Carlo computation

Cited in

(7)

• A Wong–Zakai Type Approximation for Multiple Wiener–Stratonovich Integrals
• A new algorithm and worst case complexity for Feynman-Kac path integration.
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• scientific article; zbMATH DE number 3938433 (Why is no real title available?)
• An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals
• An extension of the Black-Scholes model of security valuation
• Quadrature formulas for the Wiener measure

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