A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight

DOI10.1016/S0377-0427(99)00214-9zbMath0943.65034MaRDI QIDQ1964077

John F. Monahan, A. C. Genz

Publication date: 21 August 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmconvergencenumerical exampleMonte Carlo methodsquadrature rulemultiple integralshigh-dimensional integralcomputational finance applicationstochastic spherical-radial rules

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Efficient adaptation of design parameters of derivative-free filters ⋮ Recursive approach for random response analysis using non-orthogonal polynomial expansion ⋮ BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE ⋮ CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT ⋮ Fully Symmetric Kernel Quadrature ⋮ Computing bounds on the expected maximum of correlated normal variables ⋮ RANRTH

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