Error reduction techniques in quasi-Monte Carlo integration.

DOI10.1016/S0895-7177(99)00164-8zbMath1042.65503OpenAlexW2031962678MaRDI QIDQ1597025

Giray Ökten

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00164-8

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items (10)

Random sampling from low-discrepancy sequences: applications to option pricing ⋮ The acceptance-rejection method for low-discrepancy sequences ⋮ On the convergence of quasi-random sampling/importance resampling ⋮ Some current issues in quasi-Monte Carlo methods ⋮ Weighted geometric discrepancies and numerical integration on reproducing kernel Hilbert spaces ⋮ AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system ⋮ Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality ⋮ Calculation of Discrepancy Measures and Applications

Cites Work

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• On effective computation of expectations in large or infinite dimension
• Beiträge zur Diskrepanz bezüglich gewichteter Mittel. (Contributions to the discrepancy with respect to weighted means)
• Variants of the Koksma-Hlawka inequality for vertex-modified quasi-Monte Carlo integration rules
• Variation of product function and numerical solution of some partial differential equations by low-discrepancy sequences
• Implementation and tests of low-discrepancy sequences
• Some applications of multidimensional integration by parts

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