High dimensional simulation
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Publication:5938380
DOI10.1016/S0378-4754(00)00264-0zbMath1035.65006MaRDI QIDQ5938380
Publication date: 2001
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
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Related Items (3)
Random sampling from low-discrepancy sequences: applications to option pricing ⋮ On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence ⋮ A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
Cites Work
- Good permutations for extreme discrepancy
- A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
- On quasi-Monte Carlo simulation of stochastic differential equations
- A quasi-randomized Runge-Kutta method
- A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
- A generalized discrepancy and quadrature error bound
- Twisted GFSR generators II
- On the evaluation of infinite-dimensional integrals
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