Irregular and Simulatable Functionals on Wiener Space

Nicolas Bouleau (1)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique

We discuss the difficulties of effective simulation by studying the case of functionals of multivariate Brownian functionals. This leads us to propose a definition of s-functionals which could be a step toward a statement like a Church thesis for simulatable random variates.

Mots clés: Lévy's area; Riemann integrability; approximate continuity; Euler scheme

Domaines: Probabilités [math.PR]; Analyse numérique [math.NA]

Nicolas Bouleau. Irregular and Simulatable Functionals on Wiener Space. Nicolas Bouleau, Denis Talay. Probabilités Numériques, INRIA, pp.39 - 53, 1992, Collection Didactique. ⟨hal-00448672⟩