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Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals

  • G. N. Milstein
Chapter
Part of the Mathematics and Its Applications book series (MAIA, volume 313)

Abstract

Numerical methods for Wiener integrals
$$ I = \int\limits_{C^n } {V\left( {x\left( \cdot \right)} \right)d_w x} $$
(13.1)
are expounded in the books [13], [14], and [45] (see also the references in these books).

Keywords

Stochastic Differential Equation Wiener Process Mathematical Expectation Euler Method Exponential Type 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1995

Authors and Affiliations

  • G. N. Milstein
    • 1
  1. 1.Department of MathematicsUral State UniversityEkatarinburgRussia

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