On Multivariate Integration for Stochastic Processes

  • Klaus Ritter
  • Grzegorz W. Wasilkowski
  • Henryk Woźniakowski
Chapter
Part of the ISNM International Series of Numerical Mathematics book series (ISNM, volume 112)

Abstract

We present bounds on the minimal average case errors of quadrature formulas that use n function values for multivariate integration. The error bounds are derived in terms of smoothness properties of the covariance function of the underlying stochastic process.

Keywords

Covariance Function Average Case Case Error Quadrature Formula Gaussian Measure 
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Copyright information

© Springer Basel AG 1993

Authors and Affiliations

  • Klaus Ritter
    • 1
  • Grzegorz W. Wasilkowski
    • 2
  • Henryk Woźniakowski
    • 3
    • 4
  1. 1.Mathematisches InstitutUniversität Erlangen-NürnbergErlangenGermany
  2. 2.Department of Computer ScienceUniversity of KentuckyLexingtonUSA
  3. 3.Department of Computer ScienceColumbia UniversityNYUSA
  4. 4.Institute of Applied MathematicsUniversity of WarsawPoland

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