Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
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Publication:3177719
DOI10.1090/MCOM/3324OpenAlexW2613329859MaRDI QIDQ3177719FDOQ3177719
Authors: Zhijian He 
Publication date: 1 August 2018
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.03361
Cites Work
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- Outer Minkowski content for some classes of closed sets
- Halton Sequences Avoid the Origin
- Multidimensional variation for quasi-Monte Carlo
- Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
- Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
- Quasi-Monte Carlo for integrands with point singularities at unknown locations
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- Transformations and Hardy-Krause variation
- Quasi-Monte Carlo for an integrand with a singularity along a diagonal in the square
Cited In (6)
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- An adaptive approach to cube-based quasi-Monte Carlo integration on \(\mathbb R^d\)
- Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
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