Numerical evaluation of Wiener integrals

Authors:
Alan G. Konheim and Willard L. Miranker

Journal:
Math. Comp. **21** (1967), 49-65

MSC:
Primary 65.55

DOI:
https://doi.org/10.1090/S0025-5718-1967-0221753-0

MathSciNet review:
0221753

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Abstract: A systematic study of quadrature formulae for the Wiener integral of the type 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.

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DOI:
https://doi.org/10.1090/S0025-5718-1967-0221753-0

Article copyright:
© Copyright 1967
American Mathematical Society