Good lattice rules in weighted Korobov spaces with general weights

DOI10.1007/s00211-005-0674-6zbMath1097.65004OpenAlexW2027669629MaRDI QIDQ2491143

Ian H. Sloan, Josef Dick, Xiaoqun Wang, Henryk Woźniakowski

Publication date: 26 May 2006

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-005-0674-6

zbMATH Keywords

algorithms lattice rules multivariate integration worst-case error options pricing quasi Monte-Carlo methods convergence numerical results weighted Korobov space norm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

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