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TitleMonte Carlo and Quasi-Monte Carlo Methods 2002 [electronic resource] : Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25-28, 2002 / edited by Harald Niederreiter
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004
Connect tohttp://dx.doi.org/10.1007/978-3-642-18743-8
Descript XX, 460 p. 27 illus. online resource

CONTENT

Invited Papers -- Finance: A Fertile Field for Applications of MC and QMC -- How Many Random Bits Do We Need for Monte Carlo Integration? -- On Tractability of Weighted Integration for Certain Banach Spaces of Functions -- Polynomial Integration Lattices -- Approximate Bayesian Computation and MCMC -- New Challenges for the Simulation of Stochastic Processes -- Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equations -- Digital Nets, Duality, and Algebraic Curves -- Contributed Papers -- Generalized Mersenne Prime Number and Its Application to Random Number Generation -- Constructing Good Lattice Rules with Millions of Points -- Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Period -- Simulation for American Options: Regression Now or Regression Later? -- Perturbation Monte Carlo Methods for the Solution of Inverse Problems -- Quantum Boolean Summation with Repetitions in the Worst-Average Setting -- The Strong Tractability of Multivariate Integration Using Lattice Rules -- Minimizing Effective Dimension Using Linear Transformation -- Component by Component Construction of Rank-1 Lattice Rules Having O(n-1(ln(n))d) Star Discrepancy -- Stratification by Rank-1 Lattices -- Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequences -- Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chains -- Quasi-Monte Carlo Methods for Elliptic BVPs -- Stable Connectivity of Networks and Its Monte Carlo Estimation -- Random Number Generators Based on Linear Recurrences in % MathType!MTEF!2!1!+- % feaagaart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn % hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbWexLMBb50ujbqegm0B % 1jxALjharqqr1ngBPrgifHhDYfgasaacH8srps0lbbf9q8WrFfeuY- % Hhbbf9v8qqaqFr0xc9pk0xbba9q8WqFfea0-yr0RYxir-Jbba9q8aq % 0-yq-He9q8qqQ8frFve9Fve9Ff0dmeaabaqaciaacaGaaeqabaWaae % aaeaaakeaatuuDJXwAK1uy0HMmaeXbfv3ySLgzG0uy0HgiuD3BaGqb % biab-vi8gnaaBaaaleaacaaIYaWaaWbaaWqabeaaryqr1ngBPrgaiy % GacqGF3bWDaaaaleqaaaaa!4C2E! $$ \mathbb{F}_{2ŵ } $$ -- Using Quasi-Monte Carlo Scenarios in Risk Management -- Adaptive Quasi-Monte Carlo Integration Based on MISER and VEGAS -- When Does Monte Carlo Depend Polynomially on the Number of Variables? -- A New Adaptive Method for Geometric Convergence -- Polynomial Arithmetic Analogue of Hickernell Sequences


Mathematics Applied mathematics Engineering mathematics Economics Mathematical Computer mathematics Probabilities Statistics Mathematics Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Applications of Mathematics Statistics for Business/Economics/Mathematical Finance/Insurance Quantitative Finance



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