Approximation of Wiener integrals
Author:
Publisher
Elsevier BV
Subject
Computer Science Applications,Physics and Astronomy (miscellaneous),Applied Mathematics,Computational Mathematics,Modeling and Simulation,Numerical Analysis
Reference8 articles.
1. Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
2. Hermite expansions in Monte-Carlo computation
3. Accurate evaluation of Wiener integrals
4. A sampling method for determining the lowest eigenvalue and the principal eigenfunction of Schrodingers equation
5. Functional Integration and Partial Differential Equations;Freidlin,1985
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Brownian Motion;Stochastic Tools in Mathematics and Science;2009
2. An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals;Journal of Mathematical Physics;2005-10
3. A New Algorithm and Worst Case Complexity for Feynman–Kac Path Integration;Journal of Computational Physics;2000-11
4. Quadrature Formulas for the Wiener Measure;Journal of Complexity;1999-12
5. Selected Applications of Weak Approximations;Numerical Solution of Stochastic Differential Equations;1992
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