Quadrature formulas for the Wiener measure (Q1578512)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Quadrature formulas for the Wiener measure
scientific article

    Statements

    Quadrature formulas for the Wiener measure (English)
    0 references
    0 references
    3 September 2000
    0 references
    This paper is concerned with path integrals \(I_\infty (f) =\int _Cf(x) dw(x)\) with respect to the Wiener measure on \(C=C[0,1]\). The author presents a new method for the approximation of \(I_\infty (f)\) by means of a sequence \((A_s)_{s=1,2,\dots }\) of quadrature formulas with the error bound \[ \sup _{f\in {\mathcal F} }|I_\infty (f) -A_s(f) |<2^{-1/4} n_s ^{-1/4}, \] where \({\mathcal F}\) is a class of smooth functions. The quadrature formulas \(A_s \) use \(n_s \) knots and have the form \[ A_s(f)= \sum _{i=1}^{n_s}a_i F(x_i), \] where the \(x_i \) are piecewise linear functions. For the class \({\mathcal F}\) it is proved that \(n(\varepsilon) \leq \max (1,2\varepsilon ^{-4})\) where \(n(\varepsilon)\) is the number of integrand evaluations needed to guarantee an error at most \(\varepsilon \) for \( f\in {\mathcal F}\). The effectiveness of the proposed method is illustrated with test examples.
    0 references
    Wiener measure
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references