Smoothness and dimension reduction in quasi-Monte Carlo methods

DOI10.1016/0895-7177(96)00038-6zbMath0858.65023OpenAlexW2035743118MaRDI QIDQ1921098

Publication date: 25 March 1997

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(96)00038-6

zbMATH Keywords

cubature numerical integration importance sampling dimension reduction Feynman-Kac formula quasi-Monte Carlo method computational examples discontinuous integrand sequence discrepancy linear parabolic differential equation weighted uniform sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Applications to the sciences (65Z05) Initial value problems for second-order parabolic equations (35K15)

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