A randomized trapezoidal quadrature

DOI10.1080/00207160.2021.1929194MaRDI QIDQ5072003zbMATH OpenOpenAlexFDO

Authors Yue Wu

Publication date 25 April 2022

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

Copyright license Creative Commons Attribution 4.0 International

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)

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.

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• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
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(6)

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