Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations (Q598147)

The authors consider the evaluation of exponential type functionals of Wiener processes via Monte Carlo simulation with variance reduction. It uses the discrete time numerical simulation of solutions of stochastic differential equations. An efficient fourth-order Runge-Kutta type method is suggested. The effectiveness of the proposed method allows the evaluation of conditional Wiener integrals of high dimension of paths.