Monte Carlo computation of multiple weak singular integrals of spherical and Volterra's type
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Publication:6251817
arXiv1405.6344MaRDI QIDQ6251817FDOQ6251817
Authors: Eugeny Ostrovsky, Leonid Sirota 
Publication date: 24 May 2014
Abstract: We offer a simple method Monte Carlo for computation of Volterra's and spherical type multiple integrals with weak (integrable) singularities. An elimination of infinity of variance is achieved by incorporating singularities in the density, and we offer a highly effective way for generation of appeared multidimensional distribution. We extend offered method onto multiple Volterra's and spherical integrals with weak singularities containing parameter.
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