Title | Monte Carlo and Quasi-Monte Carlo Methods 1996 [electronic resource] : Proceedings of a conference at the University of Salzburg, Austria, July 9-12, 1996 / edited by Harald Niederreiter, Peter Hellekalek, Gerhard Larcher, Peter Zinterhof |
---|---|
Imprint | New York, NY : Springer New York : Imprint: Springer, 1998 |
Connect to | http://dx.doi.org/10.1007/978-1-4612-1690-2 |
Descript | XII, 450 p. 26 illus. online resource |
Invited Papers -- A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing -- Monte Carlo Methods: A Powerful Tool of Statistical Physics -- Binary Search Trees Based on Weyl and Lehmer Sequences -- A Survey of Quadratic and Inversive Congruential Pseudorandom Numbers -- A Look at Multilevel Splitting -- On the Distribution of Digital Sequences -- Random Number Generators and Empirical Tests -- The Algebraic-Geometry Approach to Low-Discrepancy Sequences -- Contributed Papers -- A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliability -- Monte Carlo and Quasi-Monte Carlo Algorithms for a Linear Integro-Differential Equation -- A Numerical Approach for Determination of Sources in Reactive Transport Equations -- Monte Carlo Algorithms for Calculating Eigenvalues -- Construction of Digital Nets from BCH-Codes -- Discrepancy Lower Bounds for Special Quasi-Random Sequences -- Computing Discrepancies Related to Spaces of Smooth Periodic Functions -- On Correlation Analysis of Pseudorandom Numbers -- Quasi-Monte Carlo, Discrepancies and Error Estimates -- The Quasi-Random Walk -- Comparison of Independent and Stratified Sampling Schemes in Problems of Global Optimization -- The Rate of Convergence to a Stable Law for the Random Sum of IID Random Variables -- Some Bounds on the Figure of Merit of a Lattice Rule -- Quasi-Monte Carlo Integration of Digitally Smooth Functions by Digital Nets -- Weak Limits for the Diaphony -- Quasi-Monte Carlo Simulation of Random Walks in Finance -- Error Estimation for Quasi-Monte Carlo Methods -- Shift-Nets: A New Class of Binary Digital (tms)-Nets -- General Sequential Sampling Techniques for Monte Carlo Simulations: Part I - Matrix Problems -- Quasi-Monte Carlo Methods for Integral Equations -- Quadratic Congruential Generators with Odd Composite Modulus -- A New Permutation Choice in Halton Sequences -- Optimal U-Type Designs