The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
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چکیده
منابع مشابه
The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
The pricing problem for a continuous path-dependent option results in a path integral which can be recast into an infinite-dimensional integration problem. We study ANOVA decomposition of a function of infinitely many variables arising from the Brownian bridge formulation of the continuous option pricing problem. We show that all resulting ANOVA terms can be smooth in this infinite-dimensional ...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2016
ISSN: 0025-5718,1088-6842
DOI: 10.1090/mcom/3171