method. The key insight is in the close relation of the characteristic function with the series coefficients of the Fourier-cosine … expansion of the density function. In most cases, the convergence rate of the COS method is exponential and the computational …

method. The key insight is in the close relation of the characteristic function with the series coefficients of the Fourier-cosine … expansion of the density function. In most cases, the convergence rate of the COS method is exponential and the computational …