Trapezoidal Stratified Monte Carlo Integration

DOI10.1137/0729019zbMath0747.65102OpenAlexW1969873982MaRDI QIDQ3989452

Stamatis Cambanis, Elias Masry

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1137/0729019

zbMATH Keywords

trapezoidal ruleMonte Carlo integration of random processesquadratic-mean integral approximation errorrate of quadratic-mean convergencesample path integralstratified Monte Carlo trapezoidal rule

Mathematics Subject Classification ID

Nonparametric estimation (62G05) General second-order stochastic processes (60G12) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)

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Stratified Monte Carlo quadrature for continuous random fields

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