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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)