High dimensional simulation

DOI10.1016/S0378-4754(00)00264-0MaRDI QIDQ5938380zbMATH OpenFDO

Authors Giray Ökten

Publication date 2001

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-4754(00)00264-0

zbMATH Keywords

ANOVA decompositionlow-discrepancy sequencesMonte Carlo methodnumerical resultstransport theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Transport processes in time-dependent statistical mechanics (82C70)

Recommendations

• Hybrid Monte Carlo on Hilbert spaces
• The Markov chain Monte Carlo revolution
• Computational complexity of Metropolis-Hastings methods in high dimensions
• Particle Markov chain Monte Carlo for efficient numerical simulation
• Diffusion limits of the random walk Metropolis algorithm in high dimensions

Cites work

• A generalized discrepancy and quadrature error bound
• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• A quasi-randomized Runge-Kutta method
• Good permutations for extreme discrepancy
• scientific article; zbMATH DE number 1103067 (Why is no real title available?)
• scientific article; zbMATH DE number 822307 (Why is no real title available?)
• scientific article; zbMATH DE number 822319 (Why is no real title available?)
• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
• On quasi-Monte Carlo simulation of stochastic differential equations
• On the evaluation of infinite-dimensional integrals
• Twisted GFSR generators II

Cited in

(5)

• Random sampling from low-discrepancy sequences: applications to option pricing
• On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• Particle systems and kinetic equations modeling interacting agents in high dimension
• High dimensional numerical problems

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