Accurate evaluation of Wiener integrals-Reference-Cited by-同舟云学术

Accurate evaluation of Wiener integrals

Published:1973 Issue:121 Volume:27 Page:1-15
ISSN:0025-5718
Container-title:Mathematics of Computation
language:en
Short-container-title:Math. Comp.

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

Link

http://www.ams.org/mcom/1973-27-121/S0025-5718-1973-0329205-7/S0025-5718-1973-0329205-7.pdf

Reference15 articles.

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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.)

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