A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
The paper presents an algorithm that uses stochastic spherical-radial rules for the numerical computation of multiple integrals. These rules have higher accuracy and better convergence properties than simple Monte Carlo methods. The Fortran implemetation of the algorithm {(RANRTH)} is discussed, too. An example from a computational finance application is included (\(n\) variables, \(n > 100\)).
scientific article; zbMATH DE number 1398798
scientific article