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Cools, Ronald

Monte Carlo and Quasi-Monte Carlo Methods

Cools, Ronald - Monte Carlo and Quasi-Monte Carlo Methods, ebook

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ISBN: 9783319335070
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Table of contents

Part I. Invited Papers

1. Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes
Steffen Dereich, Sangmeng Li

2. Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo
Håkon Hoel, Juho Häppölä, Raúl Tempone

3. Vandermonde Nets and Vandermonde Sequences
Roswitha Hofer, Harald Niederreiter

4. Path Space Markov Chain Monte Carlo Methods in Computer Graphics
Wenzel Jakob

5. Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC
Makoto Matsumoto, Ryuichi Ohori

6. Some Results on the Complexity of Numerical Integration
Erich Novak

7. Approximate Bayesian Computation: A Survey on Recent Results
Christian P. Robert

Part II. Contributed Papers

8. Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations
Andrea Barth, Christoph Schwab, Jonas Šukys

9. Unbiased Simulation of Distributions with Explicitly Known Integral Transforms
Denis Belomestny, Nan Chen, Yiwei Wang

10. Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting
Charles-Edouard Bréhier, Ludovic Goudenège, Loïc Tudela

11. Comparison Between LS-Sequences and beta


?


-Adic van der Corput Sequences
Ingrid Carbone

12. Computational Higher Order Quasi-Monte Carlo Integration
Robert N. Gantner, Christoph Schwab

13. Numerical Computation of Multivariate Normal Probabilities Using Bivariate Conditioning
Alan Genz, Giang Trinh

14. Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations
Michael B. Giles, Christopher Lester, James Whittle

15. On ANOVA Decompositions of Kernels and Gaussian Random Field Paths
David Ginsbourger, Olivier Roustant, Dominic Schuhmacher, Nicolas Durrande, Nicolas Lenz

16. The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets
Takashi Goda, Ryuichi Ohori, Kosuke Suzuki, Takehito Yoshiki

17. Uncertainty and Robustness in Weather Derivative Models
Ahmet Göncü, Yaning Liu, Giray Ökten, M. Yousuff Hussaini

18. Reliable Adaptive Cubature Using Digital Sequences
Fred J. Hickernell, Lluís Antoni Jiménez Rugama

19. Optimal Point Sets for Quasi-Monte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives
Aicke Hinrichs, Jens Oettershagen

20. Adaptive Multidimensional Integration Based on Rank-1 Lattices
Lluís Antoni Jiménez Rugama, Fred J. Hickernell

21. Path Space Filtering
Alexander Keller, Ken Dahm, Nikolaus Binder

22. Tractability of Multivariate Integration in Hybrid Function Spaces
Peter Kritzer, Friedrich Pillichshammer

23. Derivative-Based Global Sensitivity Measures and Their Link with Sobol’ Sensitivity Indices
Sergei Kucherenko, Shugfang Song

24. Bernstein Numbers and Lower Bounds for the Monte Carlo Error
Robert J. Kunsch

25. A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
Annika Lang

26. A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation
Lionel Lenôtre

27. A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
Hassan Maatouk, Xavier Bay

28. Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve
Colas Schretter, Zhijian He, Mathieu Gerber, Nicolas Chopin, Harald Niederreiter

29. Uniform Weak Tractability of Weighted Integration
Pawe? Siedlecki

30. Incremental Greedy Algorithm and Its Applications in Numerical Integration
Vladimir Temlyakov

31. On “Upper Error Bounds for Quadrature Formulas on Function Classes” by K.K. Frolov
Mario Ullrich

32. Tractability of Function Approximation with Product Kernels
Xuan Zhou, Fred J. Hickernell

33. Discrepancy Estimates For Acceptance-Rejection Samplers Using Stratified Inputs
Houying Zhu, Josef Dick

Keywords: Mathematics, Computational Mathematics and Numerical Analysis, Applications of Mathematics

Editor
 
Publisher
Springer
Publication year
2016
Language
en
Edition
1
Series
Springer Proceedings in Mathematics & Statistics
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783319335070
Printed ISBN
978-3-319-33505-6

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