Rounding error using low precision approximate random variables

Monte Carlo methods (65C05) Roundoff error (65G50) Random number generation in numerical analysis (65C10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Integrated volatility and round-off error
A generalized Kahan-Babuška-summation-algorithm
A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
The deferred approach to the limit. I. Single lattice.
Random bit multilevel algorithms for stochastic differential equations
A floating-point technique for extending the available precision
Multilevel Monte Carlo Methods
The Accuracy of Floating Point Summation
A Note on the Generation of Random Normal Deviates
Multilevel Monte Carlo Path Simulation
MPFR
Error Analysis of Direct Methods of Matrix Inversion
Accuracy and Stability of Numerical Algorithms
Rounding Error in Numerical Solution of Stochastic Differential Equations
Probabilistic Error Analysis for Inner Products
Rundungsfehleranalyse einiger Verfahren zur Summation endlicher Summen
A New Approach to Probabilistic Rounding Error Analysis
A Convenient Method for Generating Normal Variables
Quasi double-precision in floating point addition
Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
Tests of probabilistic models for propagation of roundoff errors
Accurate floating-point summation
Accurate Sum and Dot Product
Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables
Effects of round-to-nearest and stochastic rounding in the numerical solution of the heat equation in low precision
Approximating inverse cumulative distribution functions to produce approximate random variables

This page was built for publication: Rounding error using low precision approximate random variables