scientific article; zbMATH DE number 822320
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- Applications of randomized low discrepancy sequences to the valuation of complex securities
- Integration and approximation based on scramble sampling in arbitrary dimensions
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- A generalized Faulhaber inequality, improved bracketing covers, and applications to discrepancy
- Recycling physical random numbers
- Extensible grid sampling for quantile estimation
- Central limit theorem for \((t,s)\)-sequences in base 2
- The nonzero gain coefficients of Sobol's sequences are always powers of two
- Alternative sampling methods for estimating multivariate normal probabilities
- My dream quadrature rule
- Numerical integration using sequences generating permutations
- Complexity analysis of quasi continuous level Monte Carlo
- The effective dimension and quasi-Monte Carlo integration
- Scrambled geometric net integration over general product spaces
- Consistency of randomized integration methods
- Improved bounds on the gain coefficients for digital nets in prime power base
- Scrambling Sobol' and Niederreiter-Xing points
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Reliable error estimation for Sobol' indices
- The discrepancy and gain coefficients of scrambled digital nets.
- Scrambled net variance for integrals of smooth functions
- Quasi-Monte Carlo methods with applications in finance
- Accurate emulators for large-scale computer experiments
- The price of pessimism for multidimensional quadrature
- Advanced Quasi-Monte Carlo Algorithms for Multidimensional Integrals in Air Pollution Modelling
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- A sequential addition and migration method for generating microstructures of short fibers with prescribed length distribution
- Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
- Orthogonal hypercubes and related designs
- Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
- Quasi-Monte Carlo point sets with small t-values and WAFOM
- Randomized quasi-Monte Carlo methods on triangles: extensible lattices and sequences
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
- Numerical inverse Lévy measure method for infinite shot noise series representation
- The two-dimensional small ball inequality and binary nets
- Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
- Transformations and Hardy-Krause variation
- On the optimal Halton sequence
- Walsh figure of merit for digital nets: an easy measure for higher order convergent QMC
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- On the variance of quadrature over scrambled nets and sequences
- On Dropping the First Sobol’ Point
- Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
- Pricing American-style securities using simulation
- Quasi-random numbers for copula models
- Multivariate error modeling and uncertainty quantification using importance (re-)weighting for Monte Carlo simulations in particle transport
- Asymptotic normality of extensible grid sampling
- Super-polynomial accuracy of multidimensional randomized nets using the median-of-means
- A construction of polynomial lattice rules with small gain coefficients
- Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
- Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration
- Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
- Random sampling from low-discrepancy sequences: applications to option pricing
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- Space-filling orthogonal arrays of strength two
- Convergence results for a class of time-varying simulated annealing algorithms
- Asymptotic properties of the spectral test, diaphony, and related quantities
- Metamodeling of aircraft infrared signature dispersion
- On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Deep learning based on randomized quasi-Monte Carlo method for solving linear Kolmogorov partial differential equation
- A spectral approach for the design of experiments: design, analysis and algorithms
- Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
- On the Distribution of Scrambled $$(0,m,s)-$$Nets Over Unanchored Boxes
- Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
- Parameterization based on randomized quasi-Monte Carlo methods
- On negative dependence properties of Latin hypercube samples and scrambled nets
- Local antithetic sampling with scrambled nets
- Deterministic Consistent Density Estimation for Light Transport Simulation
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- Mean Dimension of Ridge Functions
- Monte Carlo methods for security pricing
- Discrepancy behaviour in the non-asymptotic regime
- On the dependence structure and quality of scrambled \((t,m,s)\)-nets
- The distribution of the discrepancy of scrambled digital (\(t\),\(m\),\(s\))-nets
- Unbiased MLMC-based variational Bayes for likelihood-free inference
- On the efficient numerical solution of lattice systems with low-order couplings
- Preintegration via Active Subspace
- Quasi-Monte Carlo simulation for American option sensitivities
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
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- scientific article; zbMATH DE number 1790438 (Why is no real title available?)
- On integration methods based on scrambled nets of arbitrary size
- Dimension reduction for pricing options under multidimensional Lévy processes
- Quasi-Monte Carlo methods for lattice systems: a first look
- Wrap-around \(L_2\)-discrepancy of random sampling Latin hypercube and uniform designs
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
- An irregular grid approach for pricing high-dimensional American options
- A comparison of random and quasirandom points for nonparametric response surface design
- Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
- Designing combined physical and computer experiments to maximize prediction accuracy
- Optimal quadrature for Haar wavelet spaces
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