Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube

DOI10.1090/mcom/3324OpenAlexW2613329859MaRDI QIDQ3177719

Zhijian He

Publication date: 1 August 2018

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03361

zbMATH Keywords

singularitiesquasi-Monte Carlo methodsdiscontinuities

Mathematics Subject Classification ID

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

Related Items (4)

Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall ⋮ On the Error Rate of Conditional Quasi--Monte Carlo for Discontinuous Functions ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

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