scientific article; zbMATH DE number 1911041

zbMath1014.62040MaRDI QIDQ4806850

Sylvain Maire

Publication date: 14 July 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

iterative methodsvariance reductionMonte Carlo integrationhigh order estimatesL2 approximations

Mathematics Subject Classification ID

Parametric inference (62F99) Monte Carlo methods (65C05) Numerical integration (65D30)

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An Improved “Walk on Equations” Monte Carlo Algorithm for Linear Algebraic Systems ⋮ Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options ⋮ An iterative computation of approximations on Korobov-like spaces. ⋮ Quasi-Monte Carlo quadratures for multivariate smooth functions ⋮ A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations ⋮ Automatic control variates for option pricing using neural networks ⋮ A global random walk on grid algorithm for second order elliptic equations ⋮ What Monte Carlo models can do and cannot do efficiently?

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