Infinite-dimensional quadrature and approximation of distributions
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Abstract: We study numerical integration of Lipschitz functionals on a Banach space by means of deterministic and randomized (Monte Carlo) algorithms. This quadrature problem is shown to be closely related to the problem of quantization of the underlying probability measure. In addition to the general setting we analyze in particular integration w.r.t. Gaussian measures and distributions of diffusion processes. We derive lower bounds for the worst case error of every algorithm in terms of its computational cost, and we present matching upper bounds, up to logarithms, and corresponding almost optimal algorithms. As auxiliary results we determine the asymptotic behaviour of quantization numbers and Kolmogorov widths for diffusion processes.
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- Average \(n\)-widths of the Wiener space in the \(L_ \infty\)-norm
- Average-case analysis of numerical problems
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- Deterministic and stochastic error bounds in numerical analysis
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Foundations of quantization for probability distributions
- Functional quantization for numerics with an application to option pricing
- Functional quantization of a class of Brownian diffusions: a constructive approach
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- Randomization for continuous problems
- Rate optimality of wavelet series approximations of fractional Brownian motion
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Small ball estimates for Gaussian processes under Sobolev type norms
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- Small ball probabilities of fractional Brownian sheets via fractional integration operators
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