Markov Cubature Rules for Polynomial Processes
نویسندگان
چکیده
منابع مشابه
Markov cubature rules for polynomial processes
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment-matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to study the existence of such rules using algebraic techniques. These rules aim to improve the tractab...
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We introduce a criterion for the evaluation of multidimensional quadrature, or cubature, rules for the hypercube: this is the merit of a rule which is closely related to its trigonometric degree and which reduces to the Zaremba figure of merit in the case of a lattice rule. We derive a family of rules Q k having dimension s and merit 2. These rules seem to be competitive with lattice rules with...
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Article history: Received 22 June 2010 Received in revised form 11 March 2011 Accepted 14 March 2011 Available online 2 April 2011
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2890002