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On Simulating Wiener Integrals and Their Expectations

Published online by Cambridge University Press:  27 July 2009

A. Korzeniowski
Affiliation:
Department of Mathematics University of Texas at Arlington, Arlington, Texas 76019
D.L. Hawkins
Affiliation:
Department of Mathematics University of Texas at Arlington, Arlington, Texas 76019

Abstract

An approximation scheme for evaluating Wiener integrals by simulating Brownian motion is studied. The rate of convergence and numerical results are given, including an application to the heat equation by using the Feynman-Kac formula.

Type
Articles
Copyright
Copyright © Cambridge University Press 1991

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