Accurate Evaluation of Wiener Integrals
From MaRDI portal
Publication:5671563
DOI10.2307/2005242zbMATH Open0256.65013OpenAlexW4251985575MaRDI QIDQ5671563FDOQ5671563
Authors: Alexandre J. Chorin
Publication date: 1973
Full work available at URL: https://doi.org/10.2307/2005242
Numerical integration (65D30) Numerical methods for integral equations (65R20) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10)
Cites Work
- Title not available (Why is that?)
- Integration in Functional Spaces and its Applications in Quantum Physics
- Title not available (Why is that?)
- Title not available (Why is that?)
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- Hermite expansions in Monte-Carlo computation
- Title not available (Why is that?)
- A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
- Numerical Evaluation of Wiener Integrals
- Approximation of a Class of Wiener Integrals
- Random Time
Cited In (8)
- Optimal prediction for Hamiltonian partial differential equations
- Importance sampling for Kolmogorov backward equations
- Conditional expectations of Brownian functionals and their applications
- A new algorithm and worst case complexity for Feynman-Kac path integration.
- An extension of the Black-Scholes model of security valuation
- A domain-theoretic approach to Brownian motion and general continuous stochastic processes
- On Simulating Wiener Integrals and Their Expectations
- Quadrature formulas for the Wiener measure
This page was built for publication: Accurate Evaluation of Wiener Integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5671563)