Probability Seminar Ki Wai Chau (CWI)

Fourier-based Expansion Approximation

Fourier-based Expansion Approximation

In this informal talk, we consider numerical integration method based on series expansion and Fourier transform. Namely, we aim to approximate an expectation E[X] by a series in the form  of \sum A_K V_k. The talk will start with an introduction of the basic idea, followed by some insights from the research process.

The main goal of the talk is to provide a general picture on the derivation, extension and limitation of such method. The technical details
will be kept at the minimal level (for all the people in holiday mood already).