Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals (Q3727240)
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scientific article; zbMATH DE number 3958556
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| English | Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals |
scientific article; zbMATH DE number 3958556 |
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Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals (English)
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1985
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piecewise constant approximation
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Wiener integrals
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Wiener process
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Runge-Kutta method
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Taylor expansion
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