| Publication | Date of Publication | Type |
|---|
Error analysis for empirical risk minimization over clipped ReLU networks in solving linear Kolmogorov partial differential equations
Numerical Mathematics: Theory, Methods and Applications | 2025-01-14 | Paper |
Extensible grid sampling for quantile estimation
Mathematics of Computation | 2025-01-06 | Paper |
On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS
Applied Mathematics Letters | 2025-01-03 | Paper |
Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
SIAM Journal on Numerical Analysis | 2024-11-05 | Paper |
Deep learning based on randomized quasi-Monte Carlo method for solving linear Kolmogorov partial differential equation
Journal of Computational and Applied Mathematics | 2024-08-01 | Paper |
Convergence Analysis of a Quasi-Monte CarloBased Deep Learning Algorithm for Solving Partial Differential Equations
Numerical Mathematics: Theory, Methods and Applications | 2024-03-11 | Paper |
| Analysis of the Generalization Error of deep learning based on Randomized Quasi-Monte Carlo for Solving Linear Kolmogorov PDEs | 2023-10-27 | Paper |
| Empirical Risk Minimization over Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Linear Kolmogorov Partial Differential Equations with Unbounded Initial Functions | 2023-10-19 | Paper |
| Quasi-Monte Carlo for unbounded integrands with importance sampling | 2023-10-01 | Paper |
| On the convergence conditions of Laplace importance sampling with randomized quasi-Monte Carlo | 2023-09-19 | Paper |
On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
SIAM Journal on Numerical Analysis | 2023-03-31 | Paper |
Unbiased MLMC-based variational Bayes for likelihood-free inference
SIAM Journal on Scientific Computing | 2022-07-13 | Paper |
Quasi-Monte Carlo simulation for American option sensitivities
Journal of Computational and Applied Mathematics | 2022-06-16 | Paper |
On the error rate of importance sampling with randomized quasi-Monte Carlo
(available as arXiv preprint) | 2022-03-07 | Paper |
| Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks | 2021-09-11 | Paper |
Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
SIAM Journal on Scientific Computing | 2021-03-29 | Paper |
Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Quantitative Finance | 2020-12-07 | Paper |
| Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation | 2020-11-24 | Paper |
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
Mathematics of Computation | 2020-10-31 | Paper |
Quasi-Monte Carlo-based conditional pathwise method for option Greeks
Quantitative Finance | 2020-02-10 | Paper |
An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
European Journal of Operational Research | 2018-12-18 | Paper |
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
Journal of Computational and Applied Mathematics | 2018-06-20 | Paper |
| An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering | 2017-09-08 | Paper |
Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
SIAM Journal on Scientific Computing | 2017-05-31 | Paper |
An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
European Journal of Operational Research | 2016-10-07 | Paper |
Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
Operations Research | 2016-07-25 | Paper |
On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
SIAM Journal on Numerical Analysis | 2015-10-30 | Paper |
Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
SIAM Journal on Scientific Computing | 2014-08-13 | Paper |
Dimension reduction techniques in quasi-Monte Carlo methods for option pricing
INFORMS Journal on Computing | 2012-07-28 | Paper |
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
Journal of Complexity | 2012-05-07 | Paper |
Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance
SIAM Journal on Scientific Computing | 2012-05-07 | Paper |
Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
Operations Research | 2011-07-19 | Paper |
On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
Operations Research | 2009-08-13 | Paper |
New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
Journal of Complexity | 2008-04-28 | Paper |
Constructing Robust Good Lattice Rules for Computational Finance
SIAM Journal on Scientific Computing | 2008-04-03 | Paper |
Low discrepancy sequences in high dimensions: how well are their projections distributed?
Journal of Computational and Applied Mathematics | 2008-03-26 | Paper |
Brownian bridge and principal component analysis: towards removing the curse of dimensionality
IMA Journal of Numerical Analysis | 2008-01-16 | Paper |
Application of the t-Adaptive Density Matrix Renormalization Group Method to the Quantum Frenkel-Kontorova Model
Progress of Theoretical Physics Supplement | 2007-12-05 | Paper |
Efficient Weighted Lattice Rules with Applications to Finance
SIAM Journal on Scientific Computing | 2006-05-30 | Paper |
Good lattice rules in weighted Korobov spaces with general weights
Numerische Mathematik | 2006-05-26 | Paper |
Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
SIAM Journal on Scientific Computing | 2005-09-22 | Paper |
On Korobov Lattice Rules in Weighted Spaces
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
Liberating the weights
Journal of Complexity | 2004-11-23 | Paper |
Finite-order weights imply tractability of multivariate integration
Journal of Complexity | 2004-10-13 | Paper |
On generalized invariant cubature formulae
Journal of Computational and Applied Mathematics | 2003-05-15 | Paper |
A constructive approach to strong tractability using quasi-Monte Carlo algorithms
Journal of Complexity | 2003-05-14 | Paper |
The effective dimension and quasi-Monte Carlo integration
Journal of Complexity | 2003-05-04 | Paper |
| scientific article; zbMATH DE number 1839759 (Why is no real title available?) | 2003-04-06 | Paper |
Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
Mathematics of Computation | 2003-02-19 | Paper |
Volume dispersion of point sets and quasi-Monte Carlo methods
Tsinghua Science and Technology | 2003-01-08 | Paper |
The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
Mathematics of Computation | 2002-09-18 | Paper |
A new measure of irregularity of distribution and quasi-Monte Carlo methods for global optimization
Computers & Mathematics with Applications | 2002-08-15 | Paper |
Variance reduction techniques and quasi-Monte Carlo methods
Journal of Computational and Applied Mathematics | 2002-05-14 | Paper |
| scientific article; zbMATH DE number 1640106 (Why is no real title available?) | 2002-05-12 | Paper |
| scientific article; zbMATH DE number 1640105 (Why is no real title available?) | 2002-05-12 | Paper |
An extension of Sobolev's theorem
Tsinghua Science and Technology | 2001-09-05 | Paper |
Randomized Halton sequences
Mathematical and Computer Modelling | 2001-01-14 | Paper |
Improving the rejection sampling method in quasi-Monte Carlo methods
Journal of Computational and Applied Mathematics | 2000-12-21 | Paper |
| scientific article; zbMATH DE number 1536468 (Why is no real title available?) | 2000-11-28 | Paper |
Quasi-Monte Carlo integration of characteristic functions and the rejection sampling method
Computer Physics Communications | 2000-08-21 | Paper |
Random invariant cubature formulas
Vestnik St. Petersburg University. Mathematics | 1996-09-01 | Paper |
Quasi-Monte Carlo and importance sampling methods for Bayesian inverse problems
(available as arXiv preprint) | N/A | Paper |
