Monte Carlo Simulation of Numerical Integration

DOI10.1080/00949658508810860MaRDI QIDQ3745159zbMATH OpenOpenAlexFDO

Authors Thomas E. jun. Price, Donald P. Story

Publication date 1985

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658508810860

zbMATH Keywords

efficiencyMonte Carlo simulationnumerical integrationrelative errorRomberg integrationSimpson's rulestopping ruletrapezoidal ruleWiener space

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Cites work

• A Note on the Generation of Random Normal Deviates

Cited in

(6)

• A stochastic scheme for solving definite integrals
• A modified stochastic simulation method and its application
• The stochastic simulation method and its application to the separation of principal part of integral calculation
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• Reliability analysis of cold-standby systems using a self-stratifying subset simulation method

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