Monte Carlo and quasi-Monte Carlo sampling
From MaRDI portal
Publication:2518249
DOI10.1007/978-0-387-78165-5zbMath1269.65001OpenAlexW87152119MaRDI QIDQ2518249
Publication date: 15 January 2009
Published in: Springer Series in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-387-78165-5
Applications of statistics to actuarial sciences and financial mathematics (62P05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)
Related Items (only showing first 100 items - show all)
On Figures of Merit for Randomly-Shifted Lattice Rules ⋮ Extensions of Atanassov’s Methods for Halton Sequences ⋮ High-Discrepancy Sequences for High-Dimensional Numerical Integration ⋮ Probability of existence of limit cycles for a family of planar systems ⋮ Applications of Multivariate Quasi-Random Sampling with Neural Networks ⋮ On the expected \(\mathcal{L}_2\)-discrepancy of jittered sampling ⋮ On approximating the shape of one-dimensional posterior marginals using the low discrepancy points ⋮ A SUR version of the Bichon criterion for excursion set estimation ⋮ Global Likelihood Sampler for Multimodal Distributions ⋮ Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods ⋮ Detecting identification failure in moment condition models ⋮ Simulated maximum likelihood estimation in joint models for multiple longitudinal markers and recurrent events of multiple types, in the presence of a terminal event ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights ⋮ Variance-Reduced Simulation of Multiscale Tumor Growth Modeling ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes ⋮ Efficient and Accurate Parallel Inversion of the Gamma Distribution ⋮ An algorithm for probabilistic solution of parabolic PDEs ⋮ Calculation of Discrepancy Measures and Applications ⋮ An Efficient Approximation of Concept Stability Using Low-Discrepancy Sampling ⋮ On the influence of robustness measures on shape optimization with stochastic uncertainties ⋮ Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ Quasi-random numbers for copula models ⋮ Quasi-Monte Carlo integration using digital nets with antithetics ⋮ The worst-case discounted regret portfolio optimization problem ⋮ On the lower bound of the discrepancy of \((t, s)\) sequences. I ⋮ A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations ⋮ Normal variance mixtures: distribution, density and parameter estimation ⋮ Faster Monte Carlo estimation of joint models for time-to-event and multivariate longitudinal data ⋮ Synthesis and Properties of Optimally Value-Aligned Normative Systems ⋮ Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming ⋮ Lattice meets lattice: application of lattice cubature to models in lattice gauge theory ⋮ Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ Multi-fidelity design optimisation strategy under uncertainty with limited computational budget ⋮ Probabilistic logic programming for hybrid relational domains ⋮ A construction of low-discrepancy sequences involving finite-row digital \((t,s)\)-sequences ⋮ Quasi-Monte Carlo simulation for American option sensitivities ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Systematic scenario selection: stress testing and the nature of uncertainty ⋮ Image analysis for patterns in solutions of reaction-diffusion equations ⋮ Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks ⋮ Model selection via Bayesian information capacity designs for generalised linear models ⋮ Quasi-Monte Carlo Image Synthesis in a Nutshell ⋮ ANOVA Decomposition of Convex Piecewise Linear Functions ⋮ Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods ⋮ Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices ⋮ Sensitivity analysis methods in the biomedical sciences ⋮ New star discrepancy bounds for \((t,m,s)\)-nets and \((t,s)\)-sequences ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables ⋮ KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ Spatialized epidemiological forecasting applied to Covid-19 pandemic at departmental scale in France ⋮ Comparison of Sobol' sequences in financial applications ⋮ Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy ⋮ Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights ⋮ A metalearning approach for physics-informed neural networks (PINNs): application to parameterized PDEs ⋮ Reliable Adaptive Cubature Using Digital Sequences ⋮ Probability of occurrence of some planar random quasi-homogeneous vector fields ⋮ A construction of digital \((0,s)\)-sequences involving finite-row generator matrices ⋮ From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules ⋮ Single-index importance sampling with stratification ⋮ Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications ⋮ Constructing Least-Squares Polynomial Approximations ⋮ Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces ⋮ Using the continuous price as control variate for discretely monitored options ⋮ Reliable error estimation for Sobol' indices ⋮ On the discrepancy of generalized Niederreiter sequences ⋮ PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES ⋮ On the distribution of integration error by randomly-shifted lattice rules ⋮ Importance Sampling and Stratification for Copula Models ⋮ Scenario Tree Generation for Multi-stage Stochastic Programs ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm ⋮ A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo ⋮ Identification of elastic properties in the belief function framework ⋮ Tractability using periodized generalized Faure sequences ⋮ Recent constructions of low-discrepancy sequences ⋮ On the \(\mathbb{F}_2\)-linear relations of Mersenne Twister pseudorandom number generators ⋮ Optimality and Regularization Properties of Quasi-Interpolation: Deterministic and Stochastic Approaches ⋮ Efficient simulation of (\(\log\))normal random fields for hydrogeological applications ⋮ A Moment-Matching Method to Study the Variability of Phenomena Described by Partial Differential Equations ⋮ Optimising Poisson bridge constructions for variance reduction methods ⋮ Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples ⋮ Unnamed Item ⋮ Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise ⋮ Implementation of irreducible Sobol' sequences in prime power bases ⋮ On an example of finite hybrid quasi-Monte Carlo point sets ⋮ The generalized and modified Halton sequences in Cantor bases ⋮ Computer experiments: a review ⋮ Using rngstreams for parallel random number generation in C++ and R ⋮ On some recent advances on high dimensional Bayesian statistics ⋮ On the dependence structure and quality of scrambled \((t,m,s)\)-nets ⋮ Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation ⋮ Approximating concept stability using variance reduction techniques ⋮ A general control variate method for option pricing under Lévy processes
Uses Software
This page was built for publication: Monte Carlo and quasi-Monte Carlo sampling