Annali di Matematica Pura ed Applicata

, Volume 187, Issue 3, pp 385–403 | Cite as

Koksma–Hlawka type inequalities of fractional order

Original Article

Abstract

The Koksma–Hlawka inequality states that the error of numerical integration by a quasi-Monte Carlo rule is bounded above by the variation of the function times the star-discrepancy. In practical applications though functions often do not have bounded variation. Hence here we relax the smoothness assumptions required in the Koksma–Hlawka inequality. We introduce Banach spaces of functions whose fractional derivative of order \({\alpha > 0}\) is in \({\mathcal{L}_p}\) . We show that if α is an integer and p = 2 then one obtains the usual Sobolev space. Using these fractional Banach spaces we generalize the Koksma–Hlawka inequality to functions whose partial fractional derivatives are in \({\mathcal{L}_p}\) . Hence we can also obtain an upper bound on the integration error even for certain functions which do not have bounded variation but satisfy weaker smoothness conditions.

Keywords

Numerical integration Quasi-Monte Carlo Koksma–Hlawka inequality Fractional calculus Fractional derivative Fractional integral Reproducing kernel Sobolev space Fractional order 

Mathematics Subject Classification (2000)

11K38 65D30 26A33 

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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  1. 1.University of New South Wales AsiaSingaporeSingapore

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