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)

zbMATH Keywords

convergencealgorithmMonte Carlo methodsnumerical examplequadrature rulemultiple integralshigh-dimensional integralcomputational finance applicationstochastic spherical-radial rules

Mathematics Subject Classification ID

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

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• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
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• Quasi-Monte Carlo Methods in Numerical Finance
• Spherical-Radial Integration Rules for Bayesian Computation
• Stochastic Integration Rules for Infinite Regions
• Stochastic Quadrature Formulas
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• Toward real-time pricing of complex financial derivatives
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials

Cited in

(10)

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

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