Smoothness and dimension reduction in quasi-Monte Carlo methods
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Publication:1921098
DOI10.1016/0895-7177(96)00038-6zbMATH Open0858.65023OpenAlexW2035743118MaRDI QIDQ1921098FDOQ1921098
Authors: B. Moskowitz, Russel Caflisch 
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
Recommendations
cubaturedimension reductionimportance samplingnumerical integrationFeynman-Kac formulacomputational examplesquasi-Monte Carlo methoddiscontinuous integrandsequence discrepancylinear parabolic differential equationweighted uniform sampling
Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55) Initial value problems for second-order parabolic equations (35K15) Applications to the sciences (65Z05)
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Cited In (55)
- Valuing convertible bonds based on LSRQM method
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- Variance reduction techniques and quasi-Monte Carlo methods
- Randomized Halton sequences
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- Probabilistically induced domain decomposition methods for elliptic boundary-value problems
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- Fast orthogonal transforms and generation of Brownian paths
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
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- Markov Bridges, Bisection and Variance Reduction
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- On the one-point quadrature discretization in peridynamics: a novel perspective from Monte Carlo integration
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