A randomized trapezoidal quadrature

DOI10.1080/00207160.2021.1929194zbMATH Open1499.65082arXiv2011.15086OpenAlexW3163642524MaRDI QIDQ5072003FDOQ5072003

Yue Wu

Publication date: 25 April 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Abstract: A randomised trapezoidal quadrature rule is proposed for continuous functions which enjoys less regularity than commonly required. Indeed, we consider functions in some fractional Sobolev space. Various error bounds for this randomised rule are established while an error bound for classical trapezoidal quadrature is obtained for comparison. The randomised trapezoidal quadrature rule is shown to improve the order of convergence by half.

Full work available at URL: https://arxiv.org/abs/2011.15086

zbMATH Keywords

almost sure convergencefractional Sobolev space\(L^p\) convergencerandomized trapezoidal quadrature

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

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Cited In (1)

• Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods

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