Trapezoidal Monte Carlo Integration

DOI10.1137/0727016MaRDI QIDQ3034725zbMATH OpenOpenAlexFDO

Authors Elias Masry, Stamatis Cambanis

Publication date 1990

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://cdr.lib.unc.edu/downloads/76537b11c

zbMATH Keywords

random integraltrapezoidal Monte Carlo procedureweighted integrals of random processes

Mathematics Subject Classification ID

Stochastic integrals (60H05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32)

Recommendations

• Trapezoidal Stratified Monte Carlo Integration
• Convergence of the approximations of an integral by sums of random variables
• On the approximation of an integral by a sum of random variables
• scientific article; zbMATH DE number 4155838
• On the optimization of approximate integration by Monte Carlo methods

Cited in

(7)

• On the approximation of an integral by a sum of random variables
• scientific article; zbMATH DE number 4155838 (Why is no real title available?)
• Trapezoidal Stratified Monte Carlo Integration
• A randomized trapezoidal quadrature
• Trapezoidal and Simpson's methods with a random design
• Application of randomized quadrature formulas to the finite element method for elliptic equations
• On an application of infinitely divisible distributions to quadrature problems

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