Approximation of Wiener integrals (Q1819921)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of Wiener integrals |
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Approximation of Wiener integrals (English)
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1987
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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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Feynman-Kac formula
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Brownian paths
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quadrature formula
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Wiener integral
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numerical example
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