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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 1979, Volume 19, Number 1, Pages 29–43 (Mi zvmmf5414)  
This article is cited in 11 scientific papers (total in 11 papers)

Approximate evaluation of wiener continual integrals by the Monte Carlo method

K. K. Sabelfeld

Novosibirsk
Full-text PDF (1345 kB) Citations (11)
Abstract: A class of approximate expressions, exact for all polynomial functions of up to and including the third degree, and for certain other functionals of special type, is considered for the evaluation of Wiener continual integrals. A number of generalizations of Cameron's expressions is obtained, whereby the accuracy can be improved withour increasing the complexity of the approximate formula. Special approximations of the Wiener process are described, whereby estimates of the Monte Carlo method with minimum variance can be constructed. Examples are given of the evaluation of Wiener integrals of certain functionals, and in particular, of the functional describing the motion of an electron in a polar crystal.
Received: 16.04.1977
Revised: 07.07.1978
English version:
USSR Computational Mathematics and Mathematical Physics, 1979, Volume 19, Issue 1, Pages 27–43
DOI: https://doi.org/10.1016/0041-5553(79)90064-8
Bibliographic databases:
Document Type: Article
UDC: 519.676
MSC: Primary 65D32; Secondary 65C05, 28C20
Language: Russian
Citation: K. K. Sabelfeld, “Approximate evaluation of wiener continual integrals by the Monte Carlo method”, Zh. Vychisl. Mat. Mat. Fiz., 19:1 (1979), 29–43; U.S.S.R. Comput. Math. Math. Phys., 19:1 (1979), 27–43
Citation in format AMSBIB
\Bibitem{Sab79}
\by K.~K.~Sabelfeld
\paper Approximate evaluation of wiener continual integrals by the Monte Carlo method
\jour Zh. Vychisl. Mat. Mat. Fiz.
\yr 1979
\vol 19
\issue 1
\pages 29--43
\mathnet{http://mi.mathnet.ru/zvmmf5414}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=525464}
\zmath{https://zbmath.org/?q=an:0408.65012}
\transl
\jour U.S.S.R. Comput. Math. Math. Phys.
\yr 1979
\vol 19
\issue 1
\pages 27--43
\crossref{https://doi.org/10.1016/0041-5553(79)90064-8}
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    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
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