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.