Smoothness and dimension reduction in quasi-Monte Carlo methods
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Cites work
- scientific article; zbMATH DE number 4066203 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
- A Quasi-Monte Carlo Method for the Boltzmann Equation
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- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
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Cited in
(55)- Probabilistically induced domain decomposition methods for elliptic boundary-value problems
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Low discrepancy sequences in high dimensions: how well are their projections distributed?
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- Improving the rejection sampling method in quasi-Monte Carlo methods
- Markov Bridges, Bisection and Variance Reduction
- Highly efficient numerical algorithm based on random trees for accelerating parallel Vlasov-Poisson simulations
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- Effective discrepancy and numerical experiments
- Discrepancy estimates for acceptance-rejection samplers using stratified inputs
- scientific article; zbMATH DE number 1894988 (Why is no real title available?)
- Discrepancy bounds for deterministic acceptance-rejection samplers
- Fast orthogonal transforms and generation of Brownian paths
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Valuing convertible bonds based on LSRQM method
- On improving the least squares Monte Carlo option valuation method
- Importance sampling: intrinsic dimension and computational cost
- Hybrid method for the chemical master equation
- Variance reduction techniques and quasi-Monte Carlo methods
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
- Numerical computation of multivariate normal probabilities using bivariate conditioning
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems
- Monte Carlo methods for security pricing
- Integration in Hermite spaces of analytic functions
- On the efficient numerical solution of lattice systems with low-order couplings
- scientific article; zbMATH DE number 2186466 (Why is no real title available?)
- An iterative algorithm to determine the number of time steps in path generation methods
- Optimising Poisson bridge constructions for variance reduction methods
- Mean Dimension of Ridge Functions
- Quasi-Monte Carlo methods with applications in finance
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
- Dimension-wise integration of high-dimensional functions with applications to finance
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- Non-uniform random sampling and reconstruction in signal spaces with finite rate of innovation
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- Dimension reduction for pricing options under multidimensional Lévy processes
- The acceptance-rejection method for low-discrepancy sequences
- Comparison of Sobol' sequences in financial applications
- Quasi-Monte Carlo simulation for American option sensitivities
- Smart sampling and incremental function learning for very large high dimensional data
- Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
- High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
- Calibration of financial models using quasi-Monte Carlo
- Brownian bridge and other path-dependent Gaussian processes vectorial simulation
- Randomized Halton sequences
- The effective dimension and quasi-Monte Carlo integration
- The average dimension of a multidimensional function for quasi-Monte Carlo estimates of an integral
- Preintegration via Active Subspace
- On the one-point quadrature discretization in peridynamics: a novel perspective from Monte Carlo integration
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