Trapezoidal Monte Carlo Integration

DOI10.1137/0727016zbMath0692.65006OpenAlexW2070793657MaRDI QIDQ3034725

Elias Masry, Stamatis Cambanis

Publication date: 1990

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://cdr.lib.unc.edu/downloads/76537b11c

zbMATH Keywords

random integraltrapezoidal Monte Carlo procedureweighted integrals of random processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic integrals (60H05) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)