Quasi-Monte Carlo integration over ℝd

Mathematics of Computation

Volumn 73, Issue 246, 2004, Pages 827-841

  Mathé, Peter ^a   Wei, Gang ^b  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Elliptically contoured distributions; Quasi Monte Carlo integration

Indexed keywords

EID: 1642602852     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/S0025-5718-03-01569-2     Document Type: Article

References (11)

1. F. Delbaen. Coherent risk measures on general probability spaces. http://www.math.ethz.ch/~delbaen/, 1998.
2. R. E. Edwards. Functional Analysis. Theory and Applications. Holt, Rinehart & Winston, New York, Chicago, 1965.
3. L.K. Hua and Y. Wang Applications of Number Theory to Numerical Analysis. Springer-Verlag, Berlin, New York, 1981. MR 83g:10034
4. Norbert Hofmann and Peter Mathé. On quasi-Monte Carlo simulation of stochastic differential equations. Math. Comp., 66(218):573-589, 1997. MR 97f:65005
5. Stefan Jaschke and Uwe Küchler. Coherent risk measures and good-deal bounds. Finance Stoch., 5(2):181-200, 2001. MR 2003a:91066
6. H. Niederreiter. Random Number Generation and Quasi-Monte Carlo Methods, volume 63 of CBMS-NSF Region. Conf. Series in Appl. Math., SIAM, Philadelphia, 1992. MR 93h:65008
7. A. Papageorgiou. Fast convergence of quasi-Monte Carlo for a class of isotropic integrals. Math. Comp., 70(233):297-306, 2001. MR 2001f:65008
8. _. http://www.cs.columbia.edu/~ap/html/finder.html.
9. d with isotropic weight. In Monte Carlo and quasi-Monte Carlo Methods 2000 (K.-T. Fang, F. J. Hickernell, and H. Niederreiter, eds.), pp. 446-459, Springer-Verlag, Berlin, 2002.
10. 1. Ž. Vyčisl. Mat. i Mat. Fiz., 1:208-216, 1961. MR 24:B2546
11. William P. Ziemer. Weakly differentiate functions. Springer-Verlag, New York, 1989. MR 91e:46046