quadgk: Numerically evaluate integral, adaptive Gauss-Kronrod quadrature, q = quadgk(fun,a,b) attempts to approximate the integral of a scalar-valued function fun from a to b using high-order global adaptive quadrature and default error tolerances. The function y = fun(x) should accept a vector argument x and return a vector result y, where y is the integrand evaluated at each element of x. fun must be a function handle. Limits a and b can be -Inf or Inf. If both are finite, they can be complex. If at least one is complex, the integral is approximated over a straight line path from a to b in the complex plane.
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References in zbMATH (referenced in 12 articles , 1 standard article )
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- Schröter, Alexander; Heider, Pascal: An analytical formula for pricing $m$-th to default swaps (2013)
- Shampine, L.F.: Efficient Filon method for oscillatory integrals (2013)
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