A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight

DOI10.1016/S0377-0427(99)00214-9MaRDI QIDQ1964077zbMATH OpenFDO

Authors John F. Monahan, A. Genz

Publication date 21 August 2000

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-0427(99)00214-9

zbMATH Keywords

algorithmcomputational finance applicationconvergencehigh-dimensional integralMonte Carlo methodsmultiple integralsnumerical examplequadrature rulestochastic spherical-radial rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical methods (including Monte Carlo methods) (91G60)

Review text

The paper presents an algorithm that uses stochastic spherical-radial rules for the numerical computation of multiple integrals. These rules have higher accuracy and better convergence properties than simple Monte Carlo methods. The Fortran implemetation of the algorithm {(RANRTH)} is discussed, too. An example from a computational finance application is included (\(n\) variables, \(n > 100\)).

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Cited in

(11)

• Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
• Computing bounds on the expected maximum of correlated normal variables
• Recursive approach for random response analysis using non-orthogonal polynomial expansion
• RANRTH
• Efficient adaptation of design parameters of derivative-free filters
• BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
• CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT
• Stochastic Integration Rules for Infinite Regions
• Fully Symmetric Kernel Quadrature
• Higher-Dimensional Integration with Gaussian Weight for Applications in Probabilistic Design
• Numerical integration over n-dimensional cubes using generalized Gaussian quadrature

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