Accurate evaluation of Wiener integrals

Author:

Chorin Alexandre Joel

Abstract

A new quadrature formula for an important class of Wiener integrals is presented, in which the Wiener integrals are approximated by n-fold integrals with an error O ( n 2 ) O({n^{ - 2}}) . The resulting n-fold integrals can then be approximated by ordinary finite sums of remarkably simple structure. An example is given.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,Computational Mathematics,Algebra and Number Theory

Reference15 articles.

1. N. N. Bogoljubov & D. V. Širkov, Introduction to the Theory of Quantized Fields, GITTL, Moscow, 1957; English transl., Interscience, New York, 1959. MR 20 #5047; MR 22 #1349.

2. A “Simpson’s rule” for the numerical evaluation of Wiener’s integrals in function space;Cameron, R. H.;Duke Math. J.,1951

3. The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals;Cameron, R. H.;Ann. of Math. (2),1947

4. Hermite expansions in Monte-Carlo computation;Chorin, Alexandre Joel;J. Comput. Phys.,1971

5. A. J. Chorin, Determination of the Principal Eigenvalue of Schrödinger Operators. (To appear.)

Cited by 32 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. On the Uniformly Proper Classification of Open Manifolds;Journal of Mathematical Sciences;2020-06-29

2. A domain-theoretic approach to Brownian motion and general continuous stochastic processes;Theoretical Computer Science;2017-08

3. A domain-theoretic approach to Brownian motion and general continuous stochastic processes;Proceedings of the Joint Meeting of the Twenty-Third EACSL Annual Conference on Computer Science Logic (CSL) and the Twenty-Ninth Annual ACM/IEEE Symposium on Logic in Computer Science (LICS);2014-07-14

4. Importance sampling for Kolmogorov backward equations;AStA Advances in Statistical Analysis;2013-12-10

5. Quantum Algorithms and Complexity for Continuous Problems;Encyclopedia of Complexity and Systems Science;2013

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3