Numerical Evaluation of Wiener Integrals

Alan G. Konheim, Willard L. Miranker
1967 Mathematics of Computation  
A systematic study of quadrature formulae for the Wiener integral j F[x]w(dx) of the type / F[6(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. * We choose thatWiener measure with <r = 2~1/2; see [3] for precise notation and definition.
doi:10.2307/2003470 fatcat:5nyw5puterf6dn4nscytcx4rwa