Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) (Q544124): Difference between revisions
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Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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Property / Mathematics Subject Classification ID: 65C50 / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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Property / Mathematics Subject Classification ID: 46E22 / rank | |||
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Property / zbMATH DE Number: 5907646 / rank | |||
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infinite-dimensional quadrature | |||
Property / zbMATH Keywords: infinite-dimensional quadrature / rank | |||
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multi-level method | |||
Property / zbMATH Keywords: multi-level method / rank | |||
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tractability | |||
Property / zbMATH Keywords: tractability / rank | |||
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low discrepancy points | |||
Property / zbMATH Keywords: low discrepancy points / rank | |||
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fixed subspace sampling | |||
Property / zbMATH Keywords: fixed subspace sampling / rank | |||
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variable subspace sampling | |||
Property / zbMATH Keywords: variable subspace sampling / rank | |||
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Monte Carlo method | |||
Property / zbMATH Keywords: Monte Carlo method / rank | |||
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financial derivative | |||
Property / zbMATH Keywords: financial derivative / rank | |||
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Asian option | |||
Property / zbMATH Keywords: Asian option / rank | |||
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Brownian motion | |||
Property / zbMATH Keywords: Brownian motion / rank | |||
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reproducing kernel Hilbert space | |||
Property / zbMATH Keywords: reproducing kernel Hilbert space / rank | |||
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tensor product spaces | |||
Property / zbMATH Keywords: tensor product spaces / rank | |||
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algorithms | |||
Property / zbMATH Keywords: algorithms / rank | |||
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worst case error | |||
Property / zbMATH Keywords: worst case error / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jco.2010.08.001 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2125886176 / rank | |||
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Property / cites work | |||
Property / cites work: Infinite-dimensional quadrature and approximation of distributions / rank | |||
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Property / cites work: Multilevel Monte Carlo Path Simulation / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 03:29, 4 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) |
scientific article |
Statements
Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) (English)
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14 June 2011
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infinite-dimensional quadrature
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multi-level method
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tractability
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low discrepancy points
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fixed subspace sampling
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variable subspace sampling
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Monte Carlo method
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financial derivative
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Asian option
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Brownian motion
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reproducing kernel Hilbert space
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tensor product spaces
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algorithms
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worst case error
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