Introduction to quasi-Monte Carlo integration and applications
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Publication:5414722
DOI10.1007/978-3-319-03425-6zbMATH Open1309.65006OpenAlexW648263199MaRDI QIDQ5414722FDOQ5414722
Authors: Gunther Leobacher, Friedrich Pillichshammer 
Publication date: 7 May 2014
Published in: Compact Textbooks in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-03425-6
Recommendations
quasi-Monte Carlo methodsstochastic differential equationfinancial mathematicstextbookMonte Carlo integrationmultidimensional numerical integrationcomponent-by-component algorithmKoksma-Hlawka inequalityKorobov spaceHalton point setoptions valuatingpseudo-random numbers generation
Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical methods (including Monte Carlo methods) (91G60) Irregularities of distribution, discrepancy (11K38) Numerical solutions to stochastic differential and integral equations (65C30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)
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- Some results on the complexity of numerical integration
- Digital inversive vectors can achieve polynomial tractability for the weighted star discrepancy and for multivariate integration
- Extensions of generalized two-qubit separability probability analyses to higher dimensions, additional measures and new methodologies
- Tractability properties of the weighted star discrepancy of the Halton sequence
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