Quasi–Monte Carlo integration over $\mathbb {R}^d$
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Publication:4452163
DOI10.1090/S0025-5718-03-01569-2zbMath1040.65002MaRDI QIDQ4452163
Publication date: 12 February 2004
Published in: Mathematics of Computation (Search for Journal in Brave)
algorithm; error bounds; low-discrepancy point sets; quasi-Monte Carlo integration; compact sets of weights
91G60: Numerical methods (including Monte Carlo methods)
68Q25: Analysis of algorithms and problem complexity
65C05: Monte Carlo methods
11K38: Irregularities of distribution, discrepancy
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Cites Work
- On quasi-Monte Carlo simulation of stochastic differential equations
- Applications of Number Theory to Numerical Analysis
- Weakly Differentiable Functions
- Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
- Coherent risk measures and good-deal bounds
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