Remote Access Mathematics of Computation
Green Open Access

Mathematics of Computation

ISSN 1088-6842(online) ISSN 0025-5718(print)



Accurate evaluation of Wiener integrals

Author: Alexandre Joel Chorin
Journal: Math. Comp. 27 (1973), 1-15
MSC: Primary 65D30
Corrigendum: Math. Comp. 27 (1973), 1011-1012.
MathSciNet review: 0329205
Full-text PDF

Abstract | References | Similar Articles | Additional Information

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

Similar Articles

Retrieve articles in Mathematics of Computation with MSC: 65D30

Retrieve articles in all journals with MSC: 65D30

Additional Information

Article copyright: © Copyright 1973 American Mathematical Society

American Mathematical Society