scientific article; zbMATH DE number 1790429

MaRDI QIDQ4549494zbMATH OpenFDO

Authors Shu Tezuka

Publication date 16 June 2003

zbMATH Keywords

bibliographycomputational financenumerical integrationquasi-Monte Carlo methodssurvey

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to number theory (11-02) Pseudo-random numbers; Monte Carlo methods (11K45) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Monte Carlo methods (65C05) Numerical integration (65D30) Numerical methods (including Monte Carlo methods) (91G60)

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(11)

• Some current issues in quasi-Monte Carlo methods
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• \(I\)-binomial scrambling of digital nets and sequences
• On the necessity of low-effective dimension
• scientific article; zbMATH DE number 1390096 (Why is no real title available?)
• Why Monte Carlo Simulations Are Inferences and Not Experiments
• Introduction to quasi-Monte Carlo integration and applications
• Quasi-Probability: Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
• Exact cubature for a class of functions of maximum effective dimension
• Comparison of randomization techniques for low-discrepancy sequences in finance
• Quasi-Monte Carlo for highly structured generalised response models

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