scientific article; zbMATH DE number 1284029

MaRDI QIDQ4240374zbMATH OpenFDO

Authors Erich Novak, Klaus Ritter, Achim Steinbauer

Publication date 3 May 1999

zbMATH Keywords

Monte Carlo methodmultiscale decompositionnumerical examplespath integralquadrature formulasWiener integralsWiener measure

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probability theory on linear topological spaces (60B11) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(9)

• Rapidly convergent compound formulas for approximate evaluation of Wiener path integrals
• Quadrature formulas for the Wiener measure
• A multiple integral evaluation inspired by the multi-WZ method
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• A Wong–Zakai Type Approximation for Multiple Wiener–Stratonovich Integrals
• scientific article; zbMATH DE number 3879985 (Why is no real title available?)
• On Simulating Wiener Integrals and Their Expectations
• The Runge-K0utta method for evaluating the Wiener integrals of exponential type functionals
• Dimension-wise integration of high-dimensional functions with applications to finance

Describes a project that uses

Uses Software

• HRMSYM

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