Quasi-Monte Carlo methods for Choquet integrals

DOI10.1016/j.cam.2015.03.026zbMath1317.65015arXiv1411.0773OpenAlexW2035709882MaRDI QIDQ2346636

Yumiharu Nakano

Publication date: 2 June 2015

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

Full work available at URL: https://arxiv.org/abs/1411.0773

zbMATH Keywords

modulus of continuityquasi-Monte Carlo methodsrisk measuresstar discrepancyChoquet integrals

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic integrals (60H05)

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Uses Software

• QRM

Cites Work

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• Discrepancy and integration of continuous functions
• Non-additive measure and integral
• Coherent Measures of Risk
• Stochastic finance. An introduction in discrete time