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Exploring quasi Monte Carlo for marginal density approximation

โœ Scribed by M. Ostland; B. Yu


Book ID
110372420
Publisher
Springer US
Year
1997
Tongue
English
Weight
947 KB
Volume
7
Category
Article
ISSN
0960-3174

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Sufficient conditions for fast quasi-Mon
โœ A. Papageorgiou ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 209 KB

We study the approximation of d-dimensional integrals. We present sufficient conditions for fast quasi-Monte Carlo convergence. They apply to isotropic and non-isotropic problems and, in particular, to a number of problems in computational finance. We show that the convergence rate of quasi-Monte Ca