Note on “The smoothing effect of integration in $\mathbb {R}^d$ and the ANOVA decomposition” | Zendy

Michael Griebel | Zendy; Frances Y. Kuo | Zendy; Ian H. Sloan | Zendy

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Note on “The smoothing effect of integration in $\mathbb {R}^d$ and the ANOVA decomposition”

Author(s) -

Michael Griebel,

Frances Y. Kuo,

Ian H. Sloan

Publication year - 2016

Publication title -

mathematics of computation

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.95

H-Index - 103

eISSN - 1088-6842

pISSN - 0025-5718

DOI - 10.1090/mcom/3172

Subject(s) - mathematics , asian option , mistake , smoothing , mathematical economics , decomposition theorem , brownian bridge , valuation of options , econometrics , pure mathematics , brownian motion , statistics , law , political science

This paper studies the ANOVA decomposition of a d-variate function f dened on the whole of R d , where f is the maximum of a smooth function and zero (or f could be the absolute value of a smooth function). Our study is motivated by option pricing problems. We show that under suitable conditions all terms of the ANOVA decomposition, except the one of highest order, can have unlimited smoothness. In particular, this is the case for arithmetic Asian options with both the standard and Brownian bridge constructions of the Brownian motion. 2010 Mathematics Subject Classication: Primary 41A63, 41A99. Secondary 65D30.

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