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Mathematics of Computation

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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
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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.


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DOI: https://doi.org/10.1090/S0025-5718-1973-0329205-7
Article copyright: © Copyright 1973 American Mathematical Society