A randomized trapezoidal quadrature

DOI10.1080/00207160.2021.1929194zbMath1499.65082arXiv2011.15086OpenAlexW3163642524MaRDI QIDQ5072003

Yue Wu

Publication date: 25 April 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.15086

zbMATH Keywords

almost sure convergencefractional Sobolev space\(L^p\) convergencerandomized trapezoidal quadrature

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items (1)

Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods

Cites Work

• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
• Two quadrature rules for stochastic Itô-integrals with fractional Sobolev regularity
• Numerical integration of analytic functions
• Integration Formulae Based on the Trapezoidal Formula
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