Accurate Evaluation of Wiener Integrals
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Publication:5671563
Cites work
- scientific article; zbMATH DE number 3251076 (Why is no real title available?)
- scientific article; zbMATH DE number 3282537 (Why is no real title available?)
- scientific article; zbMATH DE number 3199974 (Why is no real title available?)
- scientific article; zbMATH DE number 3094600 (Why is no real title available?)
- A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
- Approximation of a Class of Wiener Integrals
- Hermite expansions in Monte-Carlo computation
- Integration in Functional Spaces and its Applications in Quantum Physics
- Numerical Evaluation of Wiener Integrals
- Random Time
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
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
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