3 citations · 5 across the 6 of their papers we have counts for
9 papers
On the optimal order of integration in Hermite spaces with finite smoothness
Josef Dick, Christian Irrgeher, Gunther Leobacher +1
We study the numerical approximation of integrals over with respect to the standard Gaussian measure for integrands which lie in certain Hermite spaces of functions.…
Integration and approximation in cosine spaces of smooth functions
Christian Irrgeher, Peter Kritzer, Friedrich Pillichshammer
We study multivariate integration and approximation for functions belonging to a weighted reproducing kernel Hilbert space based on half-period cosine functions in the worst-case s…
Fast orthogonal transforms for multi-level quasi-Monte Carlo integration
Christian Irrgeher, Gunther Leobacher
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example…
Fast Orthogonal transforms for pricing derivatives with quasi-Monte Carlo
Christian Irrgeher, Gunther Leobacher
There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform…
Approximation in Hermite spaces of smooth functions
Christian Irrgeher, Peter Kritzer, Friedrich Pillichshammer +1
We consider -approximation of elements of a Hermite space of analytic functions over . The Hermite space is a weighted reproducing kernel Hilbert space…
Tractability of Monte Carlo integration in Hermite spaces
Christian Irrgeher
We consider multivariate integration in the randomized setting. The function spaces which we study are defined on R^s with respect to the Gaussian measure and the functions are cha…