The Brownian bridge or Lévy–Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. We focus on the uniform error. In particular, we show constructively that at level N, at which there are $d=2^N$ points evaluated on the Brownian path, the uniform error and its square, and the uniform error of geometric Brownian motion, have upper bounds of order $\mathcal {O}(\sqrt {\ln d/d})$, matching the known orders. We apply the results to an option pricing example.

This paper is a contemporary review of QMC (‘quasi-Monte Carlo’) methods, that is, equal-weight rules for the approximate evaluation of high-dimensional integrals over the unit cube [0,1]s, where s may be large, or even infinite. After a general introduction, the paper surveys recent developments in lattice methods, digital nets, and related themes. Among those recent developments are methods of construction of both lattices and digital nets, to yield QMC rules that have a prescribed rate of convergence for sufficiently smooth functions, and ideally also guaranteed slow growth (or no growth) of the worst-case error as s increases. A crucial role is played by parameters called ‘weights’, since a careful use of the weight parameters is needed to ensure that the worst-case errors in an appropriately weighted function space are bounded, or grow only slowly, as the dimension s increases. Important tools for the analysis are weighted function spaces, reproducing kernel Hilbert spaces, and discrepancy, all of which are discussed with an appropriate level of detail.

This paper studies the problem of numerical integration over the unit sphere S2 ⊆ ℝ3 for functions in the Sobolev space H3/2(S2). We consider sequences Qm(n), n ∈ ℕ, of cubature (or numerical integration) rules, where Qm(n) is assumed to integrate exactly all (spherical) polynomials of degree ≤ n, and to use m = m(n) values of f. The cubature weights of all rules Qm(n) are assumed to be positive, or alternatively the sequence Qm(n), n ∈ ℕ, is assumed to have a certain local regularity property which involves the weights and the points of the rules Qm(n), n ∈ ℕ. Under these conditions it is shown that the worst-case (cubature) error, denoted by E3/2 (Qm(n)), for all functions in the unit ball of the Hilbert space H3/2 (S2) satisfies the estimate E3/2 (Qm(n)) ≤ c n−3/2, where the constant c is a universal constant for all sequences of positive weight cubature rules. For a sequence Qm(n), n ∈ ℕ, of cubature rules that satisfies the alternative local regularity property the constant c may depend on the sequence Qm(n), n ∈ ℕ. Examples of cubature rules that satisfy the assumptions are discussed.

Multiple integrals in ten or twenty variables are often needed by atomic, molecular and nuclear physicists, because of the large number of degrees of freedom in the quantum systems with which they must deal. In statistics too there is often a need to evaluate integrals with many degrees of freedom. It is in mathematical finance, however, that the most striking examples are seen, with claims of integrals being evaluated during recent years with many hundreds of variables.

Many of the boundary value problems traditionally cast as partial differential equations can be reformulated as integral equations over the boundary. After an introduction to boundary integral equations, this review describes some of the methods which have been proposed for their approximate solution. It discusses, as simply as possible, some of the techniques used in their error analysis, and points to areas in which the theory is still unsatisfactory.

Integral equations on the half line are commonly approximated by the finite-section approximation, in which the infinite upper limit is replaced by a positive number β. A novel technique is used here to rederive a number of classical results on the existence and uniqueness of the solution of the Wiener-Hopf and related equations, and is then extended to obtain existence, uniqueness and convergence results for the corresponding finite-section equations. Unlike the methods used in the recent work of Anselone and Sloan, the present methods are constructive, and result in explicit asymptotic bounds for the error introduced by the finite-section approximation.

Additional convergence results are given for the approximate solution in the space L2(a, b) of Fredholm integral equations of the second kind, y = f + Ky, by the degenerate-kernel methods of Sloan, Burn and Datyner. Convergence to the exact solution is provided for a class of these methods (including ‘method 2’), under suitable conditions on the kernel K, and error bounds are obtained. In every case the convergence is faster than that of the best approximate solution of the form yn = Σnan1u1, where u1, …, un are the appropriate functions used in the rank-n degenerate-kernel approximation. In addition, the error for method 2 is shown to be relatively unaffected if the integral equation has an eigenvalue near 1.