Integration in Hermite spaces of analytic functions

Abstract

We study integration in a class of Hilbert spaces of analytic functions defined on the ${\mathbb{R}}^s$. The functions are characterized by the property that their Hermite coefficients decay exponentially fast. We use Gauss-Hermite integration rules and show that the error of our algorithms decays exponentially fast. Furthermore, we give necessary and sufficient conditions under which we achieve exponential convergence with weak, polynomial, and strong polynomial tractability.