Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials

DOI10.1016/0021-9991(79)90150-5zbMath0437.65005OpenAlexW2046076021MaRDI QIDQ1141450

F. H. Maltz, Donald L. Hitzl

Publication date: 1979

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(79)90150-5

zbMATH Keywords

numerical resultsvariance reductionMonte Carlo integrationtruncated Fourier seriesMonte Carlo computer simulationscontrol variates technique

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Hermite expansions in Monte-Carlo computation
• A short course in computational probability and statistics
• Remarks on a Monte Carlo integration method
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Random quadratures of improved accuracy

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