On the numerical solution of Brownian motion processes
- 1 March 1973
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 10 (02) , 409-418
- https://doi.org/10.1017/s0021900200095401
Abstract
A new class of finite difference methods based on the concept of product integration is proposed for the numerical solution of the systems of weakly singular first kind Volterra equations which arise in the study of Brownian motion processes.Keywords
This publication has 3 references indexed in Scilit:
- Product integration for the generalized Abel equationMathematics of Computation, 1972
- Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov testJournal of Applied Probability, 1971
- The minimum of a stationary Markov process superimposed on a U-shaped trendJournal of Applied Probability, 1969