Stochastic Integration Rules for Infinite Regions

DOI10.1137/S1064827595286803MaRDI QIDQ4389250zbMATH OpenOpenAlexFDO

Authors John F. Monahan, A. Genz

Publication date 12 May 1998

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s1064827595286803

zbMATH Keywords

infinite regionsMonte Carlo methodsmultiple integralsnumerical examplesquadrature formulaerandom number generationstatistical computation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

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• Computing standard deviations
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• Stochastic Quadrature Formulas
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials

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(9)

• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• Quasi-stochastic integration filter for nonlinear estimation
• A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
• Mixed-degree spherical simplex-radial cubature Kalman filter
• Design of high-degree Student's \(t\)-based cubature filters
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• Fully Symmetric Kernel Quadrature
• Stochastic integration filter with improved state estimate mean-square error computation
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