Series expansion of Wiener integrals via block pulse functions

Subject Areas : Statistics

B.H.  Hashemi ¹ (Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran.)
M.  Khodabin ² (Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran.)

Received: 2017-02-01 Accepted : 2017-04-10 Published : 2017-02-01

Keywords: حرکت براونی, انتگرال‌های وینر, توابع بلاک پالس,

Abstract :

In this paper, a suitable numerical method based on block pulse functions is introduced to approximate the Wiener integrals which the exact solution of them is not exist or it may be so hard to find their exact solutions. Furthermore, the error analysis of this method is given. Some numerical examples are provided which show that the approximation method has a good degree of accuracy. The main advantage of this approximation method is its flexibility and simple applicability.