Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
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Publication:3177719
Cites work
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 739280 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- A Multivariate Faa di Bruno Formula with Applications
- Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
- Halton Sequences Avoid the Origin
- Multidimensional variation for quasi-Monte Carlo
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- Outer Minkowski content for some classes of closed sets
- Quasi-Monte Carlo for an integrand with a singularity along a diagonal in the square
- Quasi-Monte Carlo for integrands with point singularities at unknown locations
- Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
- Transformations and Hardy-Krause variation
Cited in
(6)- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
- An adaptive approach to cube-based quasi-Monte Carlo integration on \(\mathbb R^d\)
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
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