Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)

DOI10.1016/j.jco.2010.08.001zbMath1218.65005MaRDI QIDQ544124

Klaus Ritter, Ben Niu, Thomas Müller-Gronbach, Fred J. Hickernell

Publication date: 14 June 2011

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2010.08.001

zbMATH Keywords

algorithms; Brownian motion; Monte Carlo method; Asian option; reproducing kernel Hilbert space; multi-level method; tractability; worst case error; financial derivative; fixed subspace sampling; infinite-dimensional quadrature; low discrepancy points; tensor product spaces; variable subspace sampling

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60J65: Brownian motion

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)

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