A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
DOI10.1016/S0377-0427(99)00214-9zbMATH Open0943.65034MaRDI QIDQ1964077FDOQ1964077
Authors: John F. Monahan, A. Genz 
Publication date: 21 August 2000
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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convergencealgorithmMonte Carlo methodsnumerical examplequadrature rulemultiple integralshigh-dimensional integralcomputational finance applicationstochastic spherical-radial rules
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Numerical quadrature and cubature formulas (65D32)
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- Computing bounds on the expected maximum of correlated normal variables
- CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT
- Efficient adaptation of design parameters of derivative-free filters
- Higher-Dimensional Integration with Gaussian Weight for Applications in Probabilistic Design
- RANRTH
- 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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