The sparse structure of high-dimensional integrands

DOI10.1016/S0377-0427(00)00604-XzbMath0991.65025OpenAlexW2041710346MaRDI QIDQ5946090

Pierre Verlinden

Publication date: 1 September 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(00)00604-x

zbMATH Keywords

numerical resultsstochastic integralsquadrature and cubature formulasWiener-Itô decomposition

Mathematics Subject Classification ID

Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Stochastic integrals (60H05) Numerical quadrature and cubature formulas (65D32)

Cites Work

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• Scrambled net variance for integrals of smooth functions
• Ten Lectures on Wavelets
• Programs to generate Niederreiter's low-discrepancy sequences
• Monte Carlo Variance of Scrambled Net Quadrature

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