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The smoothing effect of integration in ℝd and the ANOVA decomposition

dc.contributor.authorGriebel, Michael
dc.contributor.authorKuo, Frances Y.
dc.contributor.authorSloan, Ian H.
dc.date.accessioned2024-08-26T13:50:16Z
dc.date.available2024-08-26T13:50:16Z
dc.date.issued12.2010
dc.identifier.urihttps://hdl.handle.net/20.500.11811/11964
dc.description.abstractThis paper studies the ANOVA decomposition of a d-variate function f defined on the whole of ℝd, where f is the maximum of a smooth function and zero (or f could be the absolute value of a smooth function). Our study is motivated by option pricing problems. We show that under suitable conditions all terms of the ANOVA decomposition, except the one of highest order, can have unlimited smoothness. In particular, this is the case for arithmetic Asian options with both the standard and Brownian bridge constructions of the Brownian motion.en
dc.format.extent22
dc.language.isoeng
dc.relation.ispartofseriesINS Preprints ; 1007
dc.rightsIn Copyright
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectANOVA decomposition
dc.subjectsmoothing
dc.subjectoption pricing
dc.subject.ddc510 Mathematik
dc.subject.ddc518 Numerische Analysis
dc.titleThe smoothing effect of integration in ℝd and the ANOVA decomposition
dc.typePreprint
dc.publisher.nameInstitut für Numerische Simulation (INS)
dc.publisher.locationBonn
dc.rights.accessRightsopenAccess
dc.relation.doihttps://doi.org/10.1090/S0025-5718-2012-02578-6
ulbbn.pubtypeZweitveröffentlichung
dcterms.bibliographicCitation.urlhttps://ins.uni-bonn.de/publication/preprints


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