On effective computation of expectations in large or infinite dimension

DOI10.1016/0377-0427(90)90333-UzbMath0704.65108MaRDI QIDQ917260

Nicolas Bouleau

Publication date: 1990

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

convergencestochastic processesMonte Carlo methodexpectationsfunctionalseffectivityRiemann integrableBernoulli shift methodBernoulli shift operator

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Roundoff error (65G50) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

Resolution of differential equations by the shift method ⋮ Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests ⋮ Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality ⋮ Error reduction techniques in quasi-Monte Carlo integration. ⋮ Hyperbolic automorphisms of tori and pseudo-random sequences

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Funktionen von beschränkter Variation in der Theorie der Gleichverteilung
• A comparative study of pseudo and quasi random sequences for the solution of integral equations
• Deviations from uniformity in random strings
• Low-discrepancy and low-dispersion sequences
• Construction of infinite de Bruijn arrays
• Simultaneous approximation to algebraic numbers by rationals
• Une modification multiplicative des nombres $g$ normaux
• MONTE CARLO METHODS FOR SOLVING MULTIVARIABLE PROBLEMS
• Discrépance de suites associées à un système de numération (en dimension s)
• Applications of Number Theory to Numerical Analysis
• Subadditive mean ergodic theorems
• Discrépance d'une suite complètement équirépartie

This page was built for publication: On effective computation of expectations in large or infinite dimension