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Monte Carlo and Quasi-Monte Carlo Methods 2010

  • Conference proceedings
  • © 2012

Overview

Editors:
  1. Leszek Plaskota

    1. , Institute of Applied Mathematics, University of Warsaw, Warsaw, Poland

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  2. Henryk Woźniakowski

    1. , Institute of Applied Mathematics, University of Warsaw, Warsaw, Poland

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    You can also search for this editor in PubMed   Google Scholar

  • The proceedings provide information on current trends in the area of MC and QMC methods
  • The invited survey papers summarize the state-of-the-art of the corresponding field
  • Practitioners benefit from concrete applications in finance, statistics, and many computational areas
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 23)

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Table of contents (42 papers)

  1. Front Matter

    Pages i-xii
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  2. Invited Articles

    1. Front Matter

      Pages 1-1
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  3. Invited articles

    1. Markov Bridges, Bisection and Variance Reduction

      • Søren Asmussen, Asger Hobolth
      Pages 3-22

    2. Upper Bounds in Discrepancy Theory

      • William W. L. Chen
      Pages 23-41

    3. Entropy, Randomization, Derandomization, and Discrepancy

      • Michael Gnewuch
      Pages 43-78

    4. Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes

      • E. Gobet
      Pages 79-93

    5. Stochastic Approximation of Functions and Applications

      • Stefan Heinrich
      Pages 95-131

    6. On Figures of Merit for Randomly-Shifted Lattice Rules

      • Pierre L’Ecuyer, David Munger
      Pages 133-159

    7. A Study of the Efficiency of Exact Methods for Diffusion Simulation

      • Stefano Peluchetti, Gareth O. Roberts
      Pages 161-187

    8. Polynomial Lattice Point Sets

      • Friedrich Pillichshammer
      Pages 189-210

    9. Liberating the Dimension for Function Approximation and Integration

      • G. W. Wasilkowski
      Pages 211-231

  4. Contributed Articles

    1. Front Matter

      Pages 233-233
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    2. A Component-by-Component Construction for the Trigonometric Degree

      • Nico Achtsis, Dirk Nuyens
      Pages 235-253

    3. Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration

      • Jan Baldeaux
      Pages 255-263

    4. Geometric and Statistical Properties of Pseudorandom Number Generators Based on Multiple Recursive Transformations

      • L. Yu. Barash
      Pages 265-280

    5. Computing Greeks Using Multilevel Path Simulation

      • Sylvestre Burgos, Michael B. Giles
      Pages 281-296

    6. Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model

      • Aleksandr Burmistrov, Mariya Korotchenko
      Pages 297-311

    7. New Inputs and Methods for Markov Chain Quasi-Monte Carlo

      • Su Chen, Makoto Matsumoto, Takuji Nishimura, Art B. Owen
      Pages 313-327

    8. Average Case Approximation: Convergence and Tractability of Gaussian Kernels

      • G. E. Fasshauer, F. J. Hickernell, H. Woźniakowski
      Pages 329-344

    9. Extensions of Atanassov’s Methods for Halton Sequences

      • Henri Faure, Christiane Lemieux, Xiaoheng Wang
      Pages 345-362
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Keywords

About this book

This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

Editors and Affiliations

  • , Institute of Applied Mathematics, University of Warsaw, Warsaw, Poland

    Leszek Plaskota, Henryk Woźniakowski

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