On relation between one multiple and a corresponding one-dimensional integral with applications

DOI10.2298/YJOR160916020BMaRDI QIDQ4987776zbMATH OpenFDO

Authors Tatjana Baji

Publication date 4 May 2021

Published in Yugoslav Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/YJOR160916020B

zbMATH Keywords

Gaussian quadrature rulemultiple integralmultiple stochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Numerical quadrature and cubature formulas (65D32)

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Cites work

• Epi-convergent discretizations of stochastic programs via integration quadratures
• Generalized Gaussian Quadrature Rules for Systems of Arbitrary Functions
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• Multiple Wiener integral
• Numerical Methods in Finance and Economics
• On the convergence of generalized polynomial chaos expansions

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