Accurate evaluation of Wiener integrals
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- by Alexandre Joel Chorin PDF
- Math. Comp. 27 (1973), 1-15 Request permission
Corrigendum: Math. Comp. 27 (1973), 1011-1012.
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 $O({n^{ - 2}})$. The resulting n-fold integrals can then be approximated by ordinary finite sums of remarkably simple structure. An example is given.References
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Additional Information
- © Copyright 1973 American Mathematical Society
- Journal: Math. Comp. 27 (1973), 1-15
- MSC: Primary 65D30
- DOI: https://doi.org/10.1090/S0025-5718-1973-0329205-7
- MathSciNet review: 0329205