Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals

DOI10.1137/1129099zbMATH Open0595.65024OpenAlexW2057749793MaRDI QIDQ3727240FDOQ3727240

G. N. Mil'shtejn, S. A. Gladyshev, Alexander D. Wentzell

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129099

zbMATH Keywords

Wiener processRunge-Kutta methodTaylor expansionWiener integralspiecewise constant approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Algorithms for approximation of functions (65D15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cited In (4)

• Dynamic random Weyl sampling for drastic reduction of randomness in Monte Carlo integration
• Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Title not available (Why is that?)

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