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On the numerical solution of Brownian motion processes

Published online by Cambridge University Press:  14 July 2016

R. S. Anderssen,
F. R. De Hoog and
R. Weiss
R. Weiss
Affiliation:
Computer Centre, The Australian National University
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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

BROWNIAN MOTION PROCESSESSINGULAR VOLTERRA INTEGRAL EQUATIONSNUMERICAL SOLUTIONFINITE DIFFERENCE METHODSPRODUCT INTEGRATION

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 10 , Issue 2 , June 1973, pp. 409 - 418
Copyright
Copyright © Applied Probability Trust 1973 

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References

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