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On Simulating Wiener Integrals and Their Expectations
Published online by Cambridge University Press: 27 July 2009
Abstract
An approximation scheme for evaluating Wiener integrals by simulating Brownian motion is studied. The rate of convergence and numerical results are given, including an application to the heat equation by using the Feynman-Kac formula.
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- Articles
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- Probability in the Engineering and Informational Sciences , Volume 5 , Issue 1 , January 1991 , pp. 101 - 112
- Copyright
- Copyright © Cambridge University Press 1991
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