Stability and error estimates for Filon-Clenshaw-Curtis rules for highly oscillatory integrals

DOI10.1093/IMANUM/DRQ036MaRDI QIDQ3096352zbMATH OpenOpenAlexFDO

Authors

Publication date 8 November 2011

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/54a53e5157aeca06bb0d1f30fc61ff43c6eca719

zbMATH Keywords

stabilityalgorithmnumerical experimentserror estimatesFourier coefficientshighly oscillatory integralsClenshaw-Curtis quadratureFilon method

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Numerical methods for trigonometric approximation and interpolation (65T40) Approximate quadratures (41A55) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)

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(68)

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• Fast and stable augmented Levin methods for highly oscillatory and singular integrals
• Oscillation-preserving Legendre-Galerkin methods for second kind integral equations with highly oscillatory kernels
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• On error bounds of Filon-Clenshaw-Curtis quadrature for highly oscillatory integrals
• An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
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• On Van der Corput-type lemmas for Bessel and Airy transforms and applications
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• Complexity of oscillatory integration for univariate Sobolev spaces
• Complexity of oscillatory integrals on the real line
• Efficient computation of highly oscillatory integrals with weak singularities by Gauss-type method
• Automatic computing of oscillatory integrals

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