Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube

DOI10.1090/MCOM/3324MaRDI QIDQ3177719zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

discontinuitiesquasi-Monte Carlo methodssingularities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

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Cited in

(8)

• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
• On the error rate of conditional quasi-Monte Carlo for discontinuous functions
• Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
• Accelerated convergence of error quantiles using robust randomized quasi Monte Carlo methods
• Randomized quasi-Monte Carlo and Owen's boundary growth condition: a spectral analysis
• An adaptive approach to cube-based quasi-Monte Carlo integration on \(\mathbb R^d\)

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