Approximation of a conditional wiener integral

An approximation for conditional Wiener integrals, similar to Cameron's “Simpson's Rule” for unconditional Wiener integrals, is developed. An alternate derivation of Konheim and Miranker's prescription for the development of higher-order formulas is presented.

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Bibliographic Details
Published in:Journal of computational physics 1968, Vol.3 (1), p.1-16
Main Authors: Fosdick, Lloyd D, Jordan, Harry F
Format: Article
Language:English
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Summary:An approximation for conditional Wiener integrals, similar to Cameron's “Simpson's Rule” for unconditional Wiener integrals, is developed. An alternate derivation of Konheim and Miranker's prescription for the development of higher-order formulas is presented.
ISSN:0021-9991
1090-2716
DOI:10.1016/0021-9991(68)90001-6