Monte Carlo and quasi-Monte Carlo sampling
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Publication:2518249
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Sampling theory, sample surveys (62D05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Monte Carlo methods (65C05)
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(only showing first 100 items - show all)- A general control variate method for option pricing under Lévy processes
- Extending Monte Carlo samples
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Model selection via Bayesian information capacity designs for generalised linear models
- Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Reliable error estimation for Sobol' indices
- Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm
- Identification of elastic properties in the belief function framework
- Monte Carlo and quasi-Monte Carlo methods, MCQMC 2016. Proceedings of the 12th international conference on `Monte Carlo and quasi-Monte Carlo methods in scientific computing', Stanford, CA, August 14--19, 2016
- Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
- The generalized and modified Halton sequences in Cantor bases
- Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
- Time series simulation with quasi-Monte-Carlo methods
- On the distribution of integration error by randomly-shifted lattice rules
- Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1--6, 2018
- Implementation of irreducible Sobol' sequences in prime power bases
- Computer experiments: a review
- On the dependence structure and quality of scrambled \((t,m,s)\)-nets
- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
- System reliability analyses of static and dynamic structures via direct probability integral method
- Approximate Laplace importance sampling for the estimation of expected Shannon information gain in high-dimensional Bayesian design for nonlinear models
- Huff-n-Puff (HNP) design for shale reservoirs using local dual-porosity, dual-permeability compositional simulation
- A deposit insurance pricing with a multi-state regime-switching volatility
- Computing statistical divergences with sigma points
- Fractional Lévy stable motion: finite difference iterative forecasting model
- Lattice meets lattice: application of lattice cubature to models in lattice gauge theory
- Multi-fidelity design optimisation strategy under uncertainty with limited computational budget
- Quasi-Monte Carlo simulation for American option sensitivities
- Image analysis for patterns in solutions of reaction-diffusion equations
- Sensitivity analysis methods in the biomedical sciences
- A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo
- Recent constructions of low-discrepancy sequences
- On the \(\mathbb{F}_2\)-linear relations of Mersenne Twister pseudorandom number generators
- Optimising Poisson bridge constructions for variance reduction methods
- Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
- Using rngstreams for parallel random number generation in C++ and R
- Approximating concept stability using variance reduction techniques
- A survey on kriging-based infill algorithms for multiobjective simulation optimization
- Fast high-dimensional node generation with variable density
- A multiobjective stochastic simulation optimization algorithm
- Modeling of the ARMA random effects covariance matrix in logistic random effects models
- Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems
- Proof techniques in quasi-Monte Carlo theory
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
- On the influence of robustness measures on shape optimization with stochastic uncertainties
- Quasi-random numbers for copula models
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- A construction of low-discrepancy sequences involving finite-row digital \((t,s)\)-sequences
- Efficient randomized quasi-Monte Carlo methods for portfolio market risk
- Comparison of Sobol' sequences in financial applications
- On the discrepancy of generalized Niederreiter sequences
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Control variates and conditional Monte Carlo for basket and Asian options
- On the distribution of sums of random variables with copula-induced dependence
- Probabilistic logic programming for hybrid relational domains
- Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
- Spatialized epidemiological forecasting applied to Covid-19 pandemic at departmental scale in France
- A metalearning approach for physics-informed neural networks (PINNs): application to parameterized PDEs
- Probability of occurrence of some planar random quasi-homogeneous vector fields
- Single-index importance sampling with stratification
- Quasi-Monte Carlo integration using digital nets with antithetics
- The worst-case discounted regret portfolio optimization problem
- On some recent advances on high dimensional Bayesian statistics
- Variance analysis for Monte Carlo integration
- On the lower bound of the discrepancy of \((t, s)\) sequences. I
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Quasi-Monte Carlo image synthesis in a nutshell
- ANOVA decomposition of convex piecewise linear functions
- Reliable adaptive cubature using digital sequences
- Optimality and regularization properties of quasi-interpolation: deterministic and stochastic approaches
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- On the scenario-tree optimal-value error for stochastic programming problems
- Sequential Monte Carlo methods in Bayesian joint models for longitudinal and time-to-event data
- Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
- New star discrepancy bounds for \((t,m,s)\)-nets and \((t,s)\)-sequences
- Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
- A construction of digital \((0,s)\)-sequences involving finite-row generator matrices
- scientific article; zbMATH DE number 1215244 (Why is no real title available?)
- Using the continuous price as control variate for discretely monitored options
- Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Importance sampling and stratification for copula models
- Scenario Tree Generation for Multi-stage Stochastic Programs
- A moment-matching method to study the variability of phenomena described by partial differential equations
- Monte Carlo sampling for stochastic weight functions
- Systematic scenario selection: stress testing and the nature of uncertainty
- scientific article; zbMATH DE number 1827977 (Why is no real title available?)
- Tractability using periodized generalized Faure sequences
- scientific article; zbMATH DE number 822319 (Why is no real title available?)
- Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters
- Efficient simulation of (\(\log\))normal random fields for hydrogeological applications
- Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- Synthesis and Properties of Optimally Value-Aligned Normative Systems
- scientific article; zbMATH DE number 7626793 (Why is no real title available?)
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods
- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
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