Introduction to Quasi-Monte Carlo Integration and Applications

DOI10.1007/978-3-319-03425-6zbMath1309.65006OpenAlexW648263199MaRDI QIDQ5414722

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

zbMATH Keywords

stochastic differential equation textbook Monte Carlo integration quasi-Monte Carlo methods multidimensional numerical integration Koksma-Hlawka inequality financial mathematics component-by-component algorithm Korobov space Halton point set options valuating pseudo-random numbers generation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical solutions to stochastic differential and integral equations (65C30) Irregularities of distribution, discrepancy (11K38) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

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