Sparse grid quadrature in high dimensions with applications in finance and insurance

DOI10.1007/978-3-642-16004-2zbMath1221.65080OpenAlexW637625958MaRDI QIDQ608138

Publication date: 25 November 2010

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-16004-2

zbMATH Keywords

monograph error bounds insurance mathematical finance analysis of variance sparse grid quadrature dimension-wise decomposition dimension-wise quadrature Gaussian weight function numerical high-dimensional integration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

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