Monte Carlo and Quasi-Monte Carlo Methods 2008

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: L' Ecuyer, Pierre (Επιμελητής έκδοσης), Owen, Art B. (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Θέματα: Mathematics.; Operations research.; Decision making.; Computer science > Mathematics.; Computer mathematics.; Numerical analysis.; Numerical Analysis.; Computational Mathematics and Numerical Analysis.; Math Applications in Computer Science.; Operation Research/Decision Theory.

Πίνακας περιεχομένων:

• Tutorials
• Monte Carlo and Quasi-Monte Carlo for Statistics
• Monte Carlo Computation in Finance
• Invited Articles
• Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
• Computational Complexity of Metropolis-Hastings Methods in High Dimensions
• On Quasi-Monte Carlo Rules Achieving Higher Order Convergence
• Sensitivity Estimates for Compound Sums
• New Perspectives on (0,)-Sequences
• Variable Subspace Sampling and Multi-level Algorithms
• Markov Chain Monte Carlo Algorithms: Theory and Practice
• MINT – New Features and New Results
• Contributed Articles
• Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC
• Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems
• Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...
• Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence
• Extensions of Fibonacci Lattice Rules
• Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics
• Parallel Random Number Generators Based on Large Order Multiple Recursive Generators
• Efficient Numerical Inversion for Financial Simulations
• Equidistribution Properties of Generalized Nets and Sequences
• Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples
• Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium
• Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base
• Vibrato Monte Carlo Sensitivities
• The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models
• -Nets and Maximized Minimum Distance, Part II
• Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion
• On Subsequences of Niederreiter-Halton Sequences
• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
• Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps
• Adaptive Monte Carlo Algorithms for General Transport Problems
• On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates
• Testing the Tests: Using Random Number Generators to Improve Empirical Tests
• Stochastic Spectral Formulations for Elliptic Problems
• Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options
• Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent
• Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences
• Discrepancy of Hyperplane Nets and Cyclic Nets
• A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition
• On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules
• Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields
• Green’s Functions by Monte Carlo
• Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan.