Exploration of a Cosine Expansion Lattice Scheme

07/05/2019

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In this article, we combine a lattice sequence from Quasi-Monte Carlo rules with the philosophy of the Fourier-cosine method to design an approximation scheme for expectation computation. We study the error of this scheme and compare this scheme with our previous work on wavelets. Also, some numerical experiments are performed.

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Exploration of a Cosine Expansion Lattice Scheme

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Exploration of a Cosine Expansion Lattice Scheme

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