Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals

  • G. N. Milstein
Part of the Mathematics and Its Applications book series (MAIA, volume 313)


Numerical methods for Wiener integrals
$$ I = \int\limits_{C^n } {V\left( {x\left( \cdot \right)} \right)d_w x} $$
are expounded in the books [13], [14], and [45] (see also the references in these books).


Stochastic Differential Equation Wiener Process Mathematical Expectation Euler Method Exponential Type 
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Copyright information

© Springer Science+Business Media Dordrecht 1995

Authors and Affiliations

  • G. N. Milstein
    • 1
  1. 1.Department of MathematicsUral State UniversityEkatarinburgRussia

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