Note on ``The smoothing effect of integration in R^d and the ANOVA decomposition

DOI10.1090/MCOM/3172MaRDI QIDQ2970102zbMATH OpenOpenAlexFDO

Authors Michael Griebel, F. Y. Kuo, Ian H. Sloan

Publication date 27 March 2017

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/mcom/3172

zbMATH Keywords

Anova decomposition of nonsmooth functionsdecomposition of functionsfunctions of infinitely many variables

Mathematics Subject Classification ID

Multidimensional problems (41A63) Approximations and expansions (41A99) Numerical integration (65D30)

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Cites work

• scientific article; zbMATH DE number 3491650 (Why is no real title available?)
• The smoothing effect of integration in \(\mathbb R^d\) and the ANOVA decomposition

Cited in

(15)

• ANOVA decomposition of convex piecewise linear functions
• The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
• Smoothing the payoff for efficient computation of Basket option prices
• On the error rate of conditional quasi-Monte Carlo for discontinuous functions
• The smoothing effect of integration in \(\mathbb R^d\) and the ANOVA decomposition
• A Strong Law of Large Numbers for Scrambled Net Integration
• Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on \(\mathbb{R}^d\)
• Mean Dimension of Ridge Functions
• Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
• Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
• Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods
• Theory and construction of quasi-Monte Carlo rules for Asian option pricing and density estimation
• The smoothing effect of the ANOVA decomposition
• High dimensional integration of kinks and jumps -- smoothing by preintegration
• Randomized quasi-Monte Carlo and importance sampling for super-fast growing functions with applications to finance

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