About cookies on this site Our websites require some cookies to function properly (required). In addition, other cookies may be used with your consent to analyze site usage, improve the user experience and for advertising. For more information, please review your options. By visiting our website, you agree to our processing of information as described in IBM’sprivacy statement. To provide a smooth navigation, your cookie preferences will be shared across the IBM web domains listed here.
Publication
Mathematics of Computation
Paper
Numerical evaluation of wiener integrals
Abstract
A systematic study of quadrature formulae for the Wiener integral ∫ F[x]w(dx) of the type ∫F[θ6(u, .) ]v(du) is presented. The Cameron and Vladimirov quadrature formulae, which are the function space analogues of Simpson’s Rule, are shown to fit into this framework. Numerical results are included. © 1967, AMS Publisher. All rights reserved.