Numerical Evaluation of Wiener Integrals
نویسندگان
چکیده
Here, Jc F[x]w(dx) denotes the Wiener integral, and / F[0(u, ■ )]v(du) denotes an integral over some Euclidean space. In [1] Cameron determined a pair (v, 0) by imposing on (1.2) the condition that the formula be exact for polynomial functionals of degree ^3. Imposing the same requirement, Vladimirov [5] constructed a family of pairs (v, 6). In this paper we shall develop a class of approximations of the type given in (1.2). The pair (v, 6) is chosen so that the resulting quadrature formula
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