A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight (Q1964077)
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| Language | Label | Description | Also known as |
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| English | A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight |
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A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight (English)
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21 August 2000
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The paper presents an algorithm that uses stochastic spherical-radial rules for the numerical computation of multiple integrals. These rules have higher accuracy and better convergence properties than simple Monte Carlo methods. The Fortran implemetation of the algorithm {(RANRTH)} is discussed, too. An example from a computational finance application is included (\(n\) variables, \(n > 100\)).
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quadrature rule
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stochastic spherical-radial rules
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high-dimensional integral
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numerical example
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algorithm
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multiple integrals
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convergence
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Monte Carlo methods
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computational finance application
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