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On Simulating Wiener Integrals and Their Expectations

Published online by Cambridge University Press:  27 July 2009

A. Korzeniowski  and
D.L. Hawkins
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
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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.

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Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 5 , Issue 1 , January 1991 , pp. 101 - 112
Copyright
Copyright © Cambridge University Press 1991

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