×

On some approach to the construction of cubature formulae with prescribed summarized degree of accuracy for multiple probability integrals. (Russian. English summary) Zbl 0589.65023

Cubature formulae for multiple integrals with densities corresponding to infinitely divisible distributions are obtained by projecting formulae of a prescribed degree of accuracy for approximate calculation of continuous integrals on measures generated by homogeneous processes with independent increments. These cubature formulae are recurrent, they have prescribed summarized degree of accuracy and they converge - as the dimension tends to infinity - to the approximate formulae for continuous integrals.
Reviewer: E.Rozmarová

MSC:

65D32 Numerical quadrature and cubature formulas
41A55 Approximate quadratures
65D20 Computation of special functions and constants, construction of tables
33B20 Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals)
41A63 Multidimensional problems
60H05 Stochastic integrals
65C99 Probabilistic methods, stochastic differential equations
PDFBibTeX XMLCite