New Inputs and Methods for Markov Chain Quasi-Monte Carlo

DOI10.1007/978-3-642-27440-4_15zbMath1271.65001OpenAlexW45866353MaRDI QIDQ5326113

Takuji Nishimura, Makoto Matsumoto, S. Chen, Art B. Owen

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_15

zbMATH Keywords

Markov chain Monte Carlo methodnumerical examplesquasi-Monte Carlo rulesstochastic volatility models

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

Characterization of matrices \(B\) such that \((I,B,B^2)\) generates a digital net with \(t\)-value zero ⋮ A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo ⋮ Equidistribution, uniform distribution: a probabilist's perspective

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