Cools, Ronald
Monte Carlo and Quasi-Monte Carlo Methods
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
-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
- Cools, Ronald
- Nuyens, Dirk
- Publisher
- Springer
- Publication year
- 2016
- Language
- en
- Edition
- 1
- Series
- Springer Proceedings in Mathematics & Statistics
- Page amount
- 18 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783319335070
- Printed ISBN
- 978-3-319-33505-6