Estimation of multidimensional integrals: is Monte Carlo the best method?

DOI10.1088/0305-4470/26/4/022MaRDI QIDQ4694835zbMATH OpenOpenAlexFDO

Authors E. J. Janse van Rensburg, G. M. Torrie

Publication date 17 February 1994

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0305-4470/26/4/022

zbMATH Keywords

multidimensional integralsquasi-Monte Carlo method

Mathematics Subject Classification ID

Approximate quadratures (41A55) Multidimensional problems (41A63) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Cited in

(8)

• On improving the least squares Monte Carlo option valuation method
• On the \(L_2\)-discrepancy for anchored boxes
• Monte Carlo methods for security pricing
• QMC integration errors and quasi-asymptotics
• Structure of hard spheres and related systems
• Introduction to the Thermodynamics of Hard Spheres and Related Systems
• A combined Monte Carlo and Quasi-Monte Carlo method for estimating multidimensional integrals
• Implementing quasi-Monte Carlo simulations with linear transformations

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