Accurate evaluation of Wiener integrals
Accurate evaluation of Wiener integrals
A new quadrature formula for an important class of Wiener integrals is presented, in which the Wiener integrals are approximated by <italic>n</italic>-fold integrals with an error <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper O left-parenthesis n Superscript negative 2 Baseline right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mi>O</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mrow class="MJX-TeXAtom-ORD"> <mml:msup> <mml:mi>n</mml:mi> <mml:mrow class="MJX-TeXAtom-ORD"> …