WIAS Preprint No. 855, (2003)

Approximation of Wiener integrals with respect to the Brownian bridge by simulation of SDEs



Authors

  • Milstein, Grigori N.
  • Tretyakov, Michael V.

2010 Mathematics Subject Classification

  • 65C30 28C20 65C05 60H35

Keywords

  • Conditional Wiener integrals, Feynman path integrals, numerical integration of stochastic differential equations, Monte Carlo simulation

Abstract

Numerical integration of stochastic differential equations together with the Monte Carlo technique is used to evaluate conditional Wiener integrals of exponential-type functionals. An explicit Runge-Kutta method of order four and implicit Runge-Kutta methods of order two are constructed. The corresponding convergence theorems are proved. To reduce the Monte Carlo error, a variance reduction technique is considered. Results of numerical experiments are presented.

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