Good lattice rules in weighted Korobov spaces with general weights (Q2491143): Difference between revisions
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Revision as of 00:43, 20 March 2024
scientific article
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English | Good lattice rules in weighted Korobov spaces with general weights |
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Good lattice rules in weighted Korobov spaces with general weights (English)
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26 May 2006
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Quasi Monte-Carlo algorithms are considered for multivariate integration. The worst-case error of the algorithms is defined in terms of weighted Korobov space norm with arbitrary weights (not necessarily a tensor product of univariate functions spaces). The existence of good lattice rules and sufficient conditions of tractability or strong tractability in such weighted spaces are demonstrated. A component-by-component algorithm for constructing good lattice rank-1 rules is proposed. This rule have optimal order of convergence. Numerical results for the problem of path-dependent options pricing are described.
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quasi Monte-Carlo methods
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lattice rules
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multivariate integration
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worst-case error
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algorithms
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weighted Korobov space norm
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convergence numerical results
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options pricing
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