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Sparse Grid Quadrature

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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance

Part of the book series: Lecture Notes in Computational Science and Engineering ((LNCSE,volume 77))

Abstract

This chapter is concerned with sparse grid (SG) quadrature methods. These methods are constructed using certain combinations of tensor products of one-dimensional quadrature rules. They can exploit the smoothness of f, overcome the curse of dimension to a certain extent and profit from low effective dimensions, see, e.g., [16, 44, 45, 57, 116, 146].

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Authors and Affiliations

  1. Universität Bonn, Institut für Numerische Simulation, Wegelerstr. 5, 53115, Bonn, Germany

    Markus Holtz

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  1. Markus Holtz
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Correspondence to Markus Holtz .

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Holtz, M. (2011). Sparse Grid Quadrature. In: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance. Lecture Notes in Computational Science and Engineering, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16004-2_4

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