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

Brownian pathsFeynman-Kac formulanumerical examplequadrature formulaWiener integral

Mathematics Subject Classification ID

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

Review text

The author presents a simple derivation of \textit{A. J. Chorin}'s quadrature formula for the Wiener integral [Math. Comput. 27, 1-15 (1973; Zbl 0256.65013)]. A numerical example is given.

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Cites work

• 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
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• An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals
• scientific article; zbMATH DE number 3938433 (Why is no real title available?)
• A new algorithm and worst case complexity for Feynman-Kac path integration.

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