Abstract

In order to calculate the Wiener integrals for functionals on Wiener space, one can usually apply the change of variable theorem. But, there are many functionals that are difficult or impossible to calculate even when using the change of variable formula. In order to solve this problem, we establish an evaluation formula via the Fourier-type functionals on Wiener space. We then present various examples to which our evaluation formula can be applied and with the corresponding numerical approximations.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call