Dick, Josef

Monte Carlo and Quasi-Monte Carlo Methods 2012

Dick, Josef - Monte Carlo and Quasi-Monte Carlo Methods 2012, ebook


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ISBN: 9783642410956
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Table of contents

Part I. Invited Articles

1. Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation
Jan Baldeaux, Eckhard Platen

2. The Supremum Norm of the Discrepancy Function: Recent Results and Connections
Dmitriy Bilyk, Michael Lacey

3. An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance
Pierre Moral, Gareth W. Peters, Christelle Vergé

4. Multilevel Monte Carlo Methods
Michael B. Giles

5. Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling
Fred J. Hickernell, Lan Jiang, Yuewei Liu, Art B. Owen

6. Discrepancy, Integration and Tractability
Aicke Hinrichs

7. Noisy Information: Optimality, Complexity, Tractability
Leszek Plaskota

Part II. Tutorial

8. Quasi-Monte Carlo Image Synthesis in a Nutshell
Alexander Keller

Part III. Contributed Articles

9. Conditional Sampling for Barrier Option Pricing Under the Heston Model
Nico Achtsis, Ronald Cools, Dirk Nuyens

10. Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices
Christoph Aistleitner, Markus Weimar

11. The L
2 Discrepancy of Irrational Lattices
Dmitriy Bilyk

12. Complexity of Banach Space Valued and Parametric Integration
Thomas Daun, Stefan Heinrich

13. Extended Latin Hypercube Sampling for Integration and Simulation
Rami El Haddad, Rana Fakhereddine, Christian Lécot, Gopalakrishnan Venkiteswaran

14. A Kernel-Based Collocation Method for Elliptic Partial Differential Equations With Random Coefficients
Gregory E. Fasshauer, Qi Ye

15. Polynomial Accelerated MCMC and Other Sampling Algorithms Inspired by Computational Optimization
Colin Fox

16. Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
Michael B. Giles, Lukasz Szpruch

17. On the Convergence of Quantum and Sequential Monte Carlo Methods
François Giraud, Pierre Moral

18. Lower Error Bounds for Randomized Multilevel and Changing Dimension Algorithms
Michael Gnewuch

19. A Non-empirical Test on the Second to the Sixth Least Significant Bits of Pseudorandom Number Generators
Hiroshi Haramoto, Makoto Matsumoto, Takuji Nishimura, Yuki Otsuka

20. A Finite-Row Scrambling of Niederreiter Sequences
Roswitha Hofer, Gottlieb Pirsic

21. Reconstructing Multivariate Trigonometric Polynomials by Sampling Along Generated Sets
Lutz Kämmerer

22. Bayesian Approaches to the Design of Markov Chain Monte Carlo Samplers
Jonathan M. Keith, Christian M. Davey

23. Deterministic Consistent Density Estimation for Light Transport Simulation
Alexander Keller, Nikolaus Binder

24. On Wavelet-Galerkin Methods for Semilinear Parabolic Equations with Additive Noise
Mihály Kovács, Stig Larsson, Karsten Urban

25. Component-by-Component Construction of Hybrid Point Sets Based on Hammersley and Lattice Point Sets
Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer

26. A QMC-Spectral Method for Elliptic PDEs with Random Coefficients on the Unit Sphere
Quoc Thong Le Gia

27. Sampling and Low-Rank Tensor Approximation of the Response Surface
Alexander Litvinenko, Hermann G. Matthies, Tarek A. El-Moselhy

28. The Stochastic EM Algorithm for Censored Mixed Models
Ian C. Marschner

29. Existence of Higher Order Convergent Quasi-Monte Carlo Rules via Walsh Figure of Merit
Makoto Matsumoto, Takehito Yoshiki

30. ANOVA Decomposition of Convex Piecewise Linear Functions
Werner Römisch

31. Hit-and-Run for Numerical Integration
Daniel Rudolf

32. QMC Galerkin Discretization of Parametric Operator Equations
Christoph Schwab

33. On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics
Vasile Sinescu, Frances Y. Kuo, Ian H. Sloan

34. Multi-level Monte Carlo Finite Difference and Finite Volume Methods for Stochastic Linear Hyperbolic Systems
Jonas Šukys, Siddhartha Mishra, Christoph Schwab

Keywords: Mathematics, Computational Mathematics and Numerical Analysis, Statistical Theory and Methods, Computer Graphics

Publication year
Springer Proceedings in Mathematics & Statistics
Natural Sciences

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