Adaptive Monte Carlo methods for matrix equations with applications

DOI10.1016/j.cam.2009.04.008zbMath1169.65003OpenAlexW2093506239MaRDI QIDQ2271959

Yongzeng Lai

Publication date: 5 August 2009

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.04.008

zbMATH Keywords

numerical resultsrandom walksintegral equationsgeometric convergencematrix equationadaptive correlated sequential sampling methodadaptive Monte Carlo simulation methods

Mathematics Subject Classification ID

Related Items (3)

An adaptive Monte Carlo algorithm for European and American options ⋮ Adaptive Monte Carlo methods for solving hyperbolic telegraph equation ⋮ The generalized centro-symmetric and least squares generalized centro-symmetric solutions of the matrix equation AYB + CYTD = E

Cites Work

• Sequential Monto Carlo techniques for the solution of linear systems
• Computational Methods for Integral Equations
• Approximation of Transport Equations by Matrix Equations and Sequential Sampling
• A Retrospective and Prospective Survey of the Monte Carlo Method
• “Monte Carlo” Methods for the Iteration of Linear Operators
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