Functional quantization-based stratified sampling methods
Publication:2260450
DOI10.1515/mcma-2014-0010zbMath1310.65005arXiv1008.4441OpenAlexW3122216272MaRDI QIDQ2260450
Publication date: 10 March 2015
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.4441
stratificationalgorithmnumerical integrationBrownian motionprincipal component analysisGaussian processoption pricingBrownian bridgeOrnstein-Uhlenbeck processMonte Carlo simulationVoronoi diagramvariance reductionvector quantizationKarhunen-Loèvepath-dependent optionfunctional quantizationOrnstein-Uhlenbeck bridgeproduct quantizer
Factor analysis and principal components; correspondence analysis (62H25) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65)
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