Explaining effective low-dimensionality

MaRDI QIDQ5482361zbMATH OpenFDO

Authors A. S. Dickinson

Publication date 28 August 2006

zbMATH Keywords

quasi-Monte Carlo methodsstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05)

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Cited in

(2)

• The effective dimension and quasi-Monte Carlo integration
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

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