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Cubature on C^1 space

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  • Gabriel Turinici

    ()
    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris IX - Paris Dauphine)

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    Abstract

    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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    File URL: http://hal.archives-ouvertes.fr/docs/00/72/18/80/PDF/cubature_c1_turinici_v2.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00660875.

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    Date of creation: 01 Jun 2013
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    Publication status: Published, Control and Optimization with PDE Constraints, Springer Basel (Ed.), 2013, 159-172
    Handle: RePEc:hal:journl:hal-00660875

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00660875
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: Cubature Formulae ; Stochastic Analysis ; Chen Series ; cubature on in nite dimensional space ; Cubature Wiener;

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