×

zbMATH — the first resource for mathematics

Runge-Kutta method for computing Wiener integrals of functionals of exponential type. (Russian) Zbl 0552.65017
A fourth order Runge-Kutta method is given for the evaluation of Wiener integrals \[ (1)J=\int_{C^ n}V(x(\cdot))d_ wx \] of functionals of exponential type \[ V(x(\cdot))=\exp [\int^{T}_{0}f(s,x_ 1(s),...,x_ n(s))ds]. \] The method is based on the continuity of (1) and on a stochastic system of differential equations by Ito.
Reviewer: M.Bartušek

MSC:
65D32 Numerical quadrature and cubature formulas
28C20 Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)
41A55 Approximate quadratures
65C99 Probabilistic methods, stochastic differential equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
PDF BibTeX XML Cite