Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2007/p/2/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2007 P 2 Solution by
Codex 0 2026-10-31
Richardson extrapolation combines approximations with a known leading error power to cancel that error. If , then removes .
Let for an even number of equal subintervals, with . The composite trapezoidal rule isThe Simpson's rule isAssume an error expansion , with the same coefficient on refined uniform meshes; is sufficient for this form. The coarser rule is . Direct coefficient collection givesThe leading errors cancel, leaving . The identity of the numerical integration weights is exact; the error-order conclusion additionally uses the smoothness and even-power error assumptions.
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