Integral Equations, Quasi-Monte Carlo Methods and Risk Modeling
From MaRDI portal
Publication:4611840
DOI10.1007/978-3-319-72456-0_47zbMath1405.65177arXiv1707.03655OpenAlexW2735686711MaRDI QIDQ4611840
Robert F. Tichy, Stefan Thonhauser, Michael Preischl
Publication date: 22 January 2019
Published in: Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.03655
Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30) Fredholm integral equations (45B05) Numerical integration (65D30)
Related Items
The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ Approximation methods for piecewise deterministic Markov processes and their costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Sequences, discrepancies and applications
- Risk theory with a nonlinear dividend barrier
- Funktionen von beschränkter Variation in der Theorie der Gleichverteilung
- A Koksma-Hlawka inequality for general discrepancy systems
- Approximation and convergence of the intrinsic volume
- Tractability of multivariate problems. Volume II: Standard information for functionals.
- A quadrature-based approach to improving the collocation method
- Implicitly linear collocation methods for nonlinear Volterra equations
- Tractability of multivariate integration for weighted Korobov classes
- Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- Discrepancy and the error in integration
- On the Koksma-Hlawka inequality
- Lattice-Nyström method for Fredholm integral equations of the second kind with convolution type kernels
- Iterated Collocation Methods and Their Discretizations for Volterra Integral Equations
- The Representation of Lattice Quadrature Rules as Multiple Sums
- A New Collocation-Type Method for Hammerstein Integral Equations
- A Koksma–Hlawka Inequality for Simplices
- Multidimensional Variation for Quasi-Monte Carlo
- On the Numerical Solution of Fredholm Integral Equations of the First Kind by the Inversion of the Linear System Produced by Quadrature
- On functions of bounded variation
- Introduction to Quasi-Monte Carlo Integration and Applications
- Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality
- The Numerical Solution of Fredholm integral Equations of the Second Kind
- The Galerkin Method for the Numerical Solution of Fredholm Integral Equations of the Second Kind
- The Time Value of Ruin in a Sparre Andersen Model
- On the Time Value of Ruin
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
