JC
2006
13 years 11 months ago
2006
We study the problem of multivariate integration over Rd with integrands of the form f(x)d(x) where d is a probability density function. Practical problems of this form occur comm...
WSC
2000
14 years 7 days ago
2000
Under certain conditions on the integrand, quasi-Monte Carlo methods for estimating integrals (expectations) converge faster asymptotically than Monte Carlo methods. Motivated by ...
ICCS
2001
Springer
14 years 3 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
DCC
2005
IEEE
14 years 10 months ago
2005
IEEE
(t, m, s)-nets were defined by Niederreiter [6], based on earlier work by Sobol' [7], in the context of quasi-Monte Carlo methods of numerical integration. Formulated in comb...