Unbiased Monte Carlo evaluation of certain functional integrals

DOI10.1016/0021-9991(87)90017-9zbMath0619.65011MaRDI QIDQ1089719

Wolfgang Wagner

Publication date: 1987

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(87)90017-9

zbMATH Keywords

confidence intervals; Monte Carlo methods; Markov process; variance reduction; functional integrals; statistical error; transition function; systematic error; Feynman-Kac's type formulas; von Neumann-Ulam scheme

Mathematics Subject Classification ID

65C05: Monte Carlo methods

81Q30: Feynman integrals and graphs; applications of algebraic topology and algebraic geometry

65D32: Numerical quadrature and cubature formulas

28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)

65C99: Probabilistic methods, stochastic differential equations

Related Items

Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations, Exact retrospective Monte Carlo computation of arithmetic average Asian options, A survey of numerical methods for stochastic differential equations, Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals, On Simulating Wiener Integrals and Their Expectations, Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples

Cites Work

• Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials
• Approximation of a conditional Wiener integral
• Hermite expansions in Monte-Carlo computation
• A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
• The generalized heat flow equation and a corresponding Poisson formula
• Zur abschätzung von lösungen linearer integralgleichungen mit hilfe der monte-carlo-methode
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Explicit evaluation of certain Gaussian functional integrals arising in problems of statistical physics
• Numerical Evaluation of Wiener Integrals
• A Retrospective and Prospective Survey of the Monte Carlo Method
• On Distributions of Certain Wiener Functionals
• Corrigenda
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item