Commun. Korean Math. Soc. 2000; 15(4): 715-721
Printed December 1, 2000
Copyright © The Korean Mathematical Society.
Bum Il Hong, Sung Hee Choi, Nahmwoo Hahm
Kyung Hee University, Sun Moon University, Inchon University
It is known that one can generate functions distributed according to $r$-fold Wiener measure. So we could estimate the average case errors in a similar way as in Monte-Carlo method. Hence we study the basic properties of the generator of random functions. In addition, because the $r$-fold Wiener process is truly infinitely dimensional and a computer can only handle finitely dimensional spaces, we study in this paper, the properties of generator for an m-dimensional approximation of the $r$-fold Wiener process.
Keywords: Simpson's quadrature, Wiener measure
MSC numbers: 65D30, 28C20
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