Monte Carlo simulation of stochastic integrals when the cost of function evaluation is dimension dependent

DOI10.1007/978-3-642-04107-5_35MaRDI QIDQ3405465zbMATH OpenOpenAlexFDO

Authors Ben Niu, Fred J. Hickernell

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_35

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(22)

• Unbiased Monte Carlo evaluation of certain functional integrals
• Quasi-Monte Carlo and \(\varepsilon\)-truncation dimension in ANOVA spaces
• Infinite-dimensional integration and the multivariate decomposition method
• Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
• The cost of deterministic, adaptive, automatic algorithms: cones, not balls
• \( \varepsilon \)-superposition and truncation dimensions in average and probabilistic settings for \(\infty \)-variate linear problems
• On tractability of linear tensor product problems for \(\infty \)-variate classes of functions
• On weighted Hilbert spaces and integration of functions of infinitely many variables
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Tractability of approximation of \(\infty\)-variate functions with bounded mixed partial derivatives
• Infinite-dimensional integration on weighted Hilbert spaces
• scientific article; zbMATH DE number 3852302 (Why is no real title available?)
• Liberating the dimension for \(L_2\)-approximation
• Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight
• Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence
• Monte Carlo integration with a growing number of control variates
• Liberating the dimension for function approximation and integration
• Average case tractability of approximating -variate functions
• Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
• Liberating the dimension for function approximation: standard information
• Liberating the dimension for function approximation
• Tractability of infinite-dimensional integration in the worst case and randomized settings

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