Sparse grid quadrature in high dimensions with applications in finance and insurance
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Publication:608138
DOI10.1007/978-3-642-16004-2zbMath1221.65080OpenAlexW637625958MaRDI QIDQ608138
Publication date: 25 November 2010
Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-16004-2
monographerror boundsinsurancemathematical financeanalysis of variancesparse grid quadraturedimension-wise decompositiondimension-wise quadratureGaussian weight functionnumerical high-dimensional integration
Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)
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