A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
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Publication:3123975
DOI10.1515/mcma.1996.2.4.255zbMath0868.65011OpenAlexW2067654310MaRDI QIDQ3123975
Publication date: 13 July 1997
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.1996.2.4.255
numerical integrationdiscrepancylow-discrepancy sequencespseudo-random numbershybrid-Monte Carlo sequence
Related Items (12)
Random sampling from low-discrepancy sequences: applications to option pricing ⋮ A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions ⋮ Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications” ⋮ Entropy, Randomization, Derandomization, and Discrepancy ⋮ On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets ⋮ Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples ⋮ On the existence of low‐diaphony sequences made of digital sequences and lattice point sets ⋮ High dimensional simulation ⋮ On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence ⋮ Implementing de-biased estimators using mixed sequences ⋮ A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance ⋮ Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences
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