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Author International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (9th : 2010 : University of Warsaw)

Title Monte carlo and quasi-monte carlo methods 2010 / Leszek Plaskota, Henryk Woźniakowski, editors
Published Berlin ; New York : Springer, ©2012


Description 1 online resource
Series Springer proceedings in mathematics and statistics, 2194-1009 ; v. 23
Springer proceedings in mathematics & statistics ; v. 23.
Contents Part 1. Invited articles. Markov Bridges, Bisection and Variance Reduction / Søren Asmussen and Asger Hobolth -- Upper Bounds in Discrepancy Theory / William W.L. Chen -- Entropy, Randomization, Derandomization, and Discrepancy / Michael Gnewuch -- Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes / E. Gobet -- Stochastic Approximation of Functions and Applications / Stefan Heinrich -- On Figures of Merit for Randomly-Shifted Lattice Rules / Pierre L'Ecuyer and David Munger -- A Study of the Efficiency of Exact Methods for Diffusion Simulation / Stefano Peluchetti and Gareth O. Roberts -- Polynomial Lattice Point Sets / Friedrich Pillichshammer -- Liberating the Dimension for Function Approximation and Integration / G.W. Wasilkowski
Part 2. Contributed Articles. A Component-by-Component Construction for the Trigonometric Degree / Nico Achtsis and Dirk Nuyens -- Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration / Jan Baldeaux -- Geometric and Statistical Properties of Pseudorandom Number Generators Based on Multiple Recursive Transformations / L. Yu. Barash -- Computing Greeks Using Multilevel Path Simulation / Sylvestre Burgos and Michael B. Giles -- Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model / Aleksandr Burmistrov and Mariya Korotchenko -- New Inputs and Methods for Markov Chain Quasi-Monte Carlo / Su Chen, Makoto Matsumoto, Takuji Nishimura and Art B. Owen -- Average Case Approximation: Convergence and Tractability of Gaussian Kernels / G.E. Fasshauer, F.J. Hickernell and H. Woźniakowski -- Extensions of Atanassov's Methods for Halton Sequences / Henri Faure, Christiane Lemieux and Xiaoheng Wang -- Applicability of Subsampling Bootstrap Methods in Markov Chain Monte Carlo / James M. Flegal -- QMC Computation of Confidence Intervals for a Sleep Performance Model / Alan Genz and Amber Smith -- Options Pricing for Several Maturities in a Jump-Diffusion Model / Anatoly Gormin and Yuri Kashtanov
Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals / Leonhard Grünschloß, Matthias Raab and Alexander Keller -- Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation / Chuan-Hsiang Han -- Spatial/Angular Contributon Maps for Improved Adaptive Monte Carlo Algorithms / Carole Kay Hayakawa, Rong Kong and Jerome Spanier -- Hybrid Function Systems in the Theory of Uniform Distribution of Sequences / Peter Hellekalek -- An Intermediate Bound on the Star Discrepancy / Stephen Joe -- On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws / Reiichiro Kawai and Junichi Imai -- Parallel Quasi-Monte Carlo Integration by Partitioning Low Discrepancy Sequences / Alexander Keller and Leonhard Grünschloß -- Quasi-Monte Carlo Progressive Photon Mapping / Alexander Keller, Leonhard Grünschloß and Marc Droske -- Value Monte Carlo Algorithms for Estimating the Solution to the Coagulation Equation / Mariya Korotchenko -- Numerical Simulation of the Drop Size Distribution in a Spray / Christian Lécot, Moussa Tembely, Arthur Soucemarianadin and Ali Tarhini
Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques / Krzysztof Łatuszyński, Błażej Miasojedow and Wojciech Niemiro -- Accelerating the Convergence of Lattice Methods by Importance Sampling-Based Transformations / Earl Maize, John Sepikas and Jerome Spanier -- Exact Simulation of Occupation Times / Roman N. Makarov and Karl Wouterloot -- A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance / Dirk Nuyens and Benjamin J. Waterhouse -- Random and Deterministic Digit Permutations of the Halton Sequence / Giray Ökten, Manan Shah and Yevgeny Goncharov -- A Quasi Monte Carlo Method for Large-Scale Inverse Problems / Nick Polydorides, Mengdi Wang and Dimitri P. Bertsekas -- In Search for Good Chebyshev Lattices / Koen Poppe and Ronald Cools -- Approximation of Functions from a Hilbert Space Using Function Values or General Linear Information / Ralph Tandetzky -- High Order Weak Approximation Schemes for Lévy-Driven SDEs / Peter Tankov -- High-Discrepancy Sequences for High-Dimensional Numerical Integration / Shu Tezuka -- Multilevel Path Simulation for Jump-Diffusion SDEs / Yuan Xia and Michael B. Giles -- Randomized Algorithms for Hamiltonian Simulation / Chi Zhang
Summary This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics
Analysis Mathematics
Computer science -- Mathematics
Computational Mathematics and Numerical Analysis
Algorithm Analysis and Problem Complexity
Quantitative Finance
Applications of Mathematics
Bibliography Includes bibliographical references and index
Subject Monte Carlo method -- Congresses
Monte Carlo method.
Computer algorithms.
Monte Carlo Method
applied mathematics.
MATHEMATICS -- Numerical Analysis.
Monte Carlo method.
Genre/Form Conference papers and proceedings.
Computer software.
Conference papers and proceedings.
Actes de congrès.
Form Electronic book
Author Plaskota, Leszek.
Woźniakowski, H
ISBN 9783642274404