On Simulating Wiener Integrals and Their Expectations

DOI10.1017/S0269964800001923MaRDI QIDQ3416000zbMATH OpenFDO

Authors A. Korzeniowski, Doyle L. Hawkins

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0269964800001923

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Accurate Evaluation of Wiener Integrals
• An exact rate of convergence in the functional central limit theorem for special martingale difference arrays
• Discretization and simulation of stochastic differential equations
• Dynamic systems driven by Markov processes
• On Conditions of Existence of Bounded Density for Additive Functionals on Some Random Processes
• On the Rate of Convergence for the Invariance Principle
• Random designs for estimating integrals of stochastic processes
• Unbiased Monte Carlo evaluation of certain functional integrals
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(7)

• On computer simulation of Feynman-Kac path-integrals
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• Numerical methods for linear boundary value problems based on Feynman-Kac representations
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• Estimation and Simulation for theM-Wright Function
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