Asymptotically optimal weighted numerical integration (Q1265136)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotically optimal weighted numerical integration |
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Asymptotically optimal weighted numerical integration (English)
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19 April 1999
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The aim of this paper is to investigate numerical integration of Hölder-type functions with respect to weights on the infinite interval \((-\infty,+\infty)\). The author extends previous work by \textit{F. Curbera} [Integration of Lipschitz functions with Gaussian weights, ibid. 14, No. 1, 122-149 (1998; Zbl 0908.65013)] and presents a connection between this problem and the approximation of distribution functions by empirical ones. An application for weighted integration of Brownian paths is given.
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numerical integration
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Hölder-type functions
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Brownian paths
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