Cubature on C^1 space

We explore in this paper cubature formulas over the space of functions having a first continuous derivative, i.e., C^1. We show that known cubature formulas are not optimal in this case and explain what is the origin of the loss of optimality and how to construct optimal ones; to illustrate we give cubature formulas up to (including) order 9.

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Year of publication:	2013-06-01
Authors:	Turinici, Gabriel
Institutions:	HAL
Subject:	Cubature Formulae \| Stochastic Analysis \| Chen Series \| cubature on in nite dimensional space \| Cubature Wiener

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00660875 Published, Control and Optimization with PDE Constraints, Springer Basel (Ed.), 2013, 159-172
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678087