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Numerical evaluation of Wiener integrals

Authors: Alan G. Konheim and Willard L. Miranker
Journal: Math. Comp. 21 (1967), 49-65
MSC: Primary 65.55
MathSciNet review: 0221753
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Abstract: A systematic study of quadrature formulae for the Wiener integral $ \int {F[x]w(dx)} $ of the type $ \int {F[\theta (u, \cdot )]\nu (du)} $ is presented. The Cameron and Vladimirov quadrature formulae, which are the function space analogues of Simpson's Rule, are shown to fit into this framework. Numerical results are included.

References [Enhancements On Off] (What's this?)

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Article copyright: © Copyright 1967 American Mathematical Society

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