The sparse structure of high-dimensional integrands (Q5946090)
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scientific article; zbMATH DE number 1658287
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The sparse structure of high-dimensional integrands |
scientific article; zbMATH DE number 1658287 |
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The sparse structure of high-dimensional integrands (English)
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1 September 2002
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quadrature and cubature formulas
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stochastic integrals
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Wiener-Itô decomposition
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numerical results
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The author investigates the possible interest of expanding white noise in the orthonormal basis of orthogonal polynomials or in hierarchical basis of Daubechies' wavelets. Using the Wiener-Itô decomposition of the functional, the sparsity of the representation of the functional in these bases is studied.NEWLINENEWLINENEWLINEThen a quadrature formula is proposed that takes profit of the sparse structure of the quadric part of the Wiener-Itô decomposition. Finally, numerical results are considered.
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