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Monte Carlo and Quasi-Monte Carlo Methods 1996

Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996

  • Conference proceedings
  • © 1998

Overview

Editors:
  1. Harald Niederreiter

    1. Institute of Information Processing, Austrian Academy of Sciences, Vienna, Austria

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  2. Peter Hellekalek

    1. Department of Mathematics, University of Salzburg, Salzburg, Austria

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  3. Gerhard Larcher

    1. Department of Mathematics, University of Salzburg, Salzburg, Austria

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  4. Peter Zinterhof

    1. Department of Mathematics, University of Salzburg, Salzburg, Austria

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Part of the book series: Lecture Notes in Statistics (LNS, volume 127)

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Table of contents (31 papers)

  1. Front Matter

    Pages N2-xii
    Download chapter PDF

  2. A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

    • Peter A. Acworth, Mark Broadie, Paul Glasserman
    Pages 1-18

  3. Monte Carlo Methods: a powerful tool of statistical physics

    • Kurt Binder
    Pages 19-39

  4. Binary search trees based on Weyl and Lehmer sequences

    • Luc Devroye
    Pages 40-65

  5. A survey of quadratic and inversive congruential pseudorandom numbers

    • Jürgen Eichenauer-Herrmann, Eva Herrmann, Stefan Wegenkittl
    Pages 66-97

  6. A Look At Multilevel Splitting

    • Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
    Pages 98-108

  7. On the Distribution of Digital Sequences

    • Gerhard Larcher
    Pages 109-123

  8. Random Number Generators and Empirical Tests

    • Pierre L’Ecuyer
    Pages 124-138

  9. The Algebraic-Geometry Approach to Low-Discrepancy Sequences

    • Harald Niederreiter, Chaoping Xing
    Pages 139-160

  10. A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliability

    • Stéphane Bulteau, Mohamed El Khadiri
    Pages 161-175

  11. Monte Carlo and quasi-Monte Carlo algorithms for a linear integro-differential equation

    • Ibrahim Coulibaly, Christian Lécot
    Pages 176-188

  12. A Numerical Approach for Determination of Sources in Reactive Transport Equations

    • I. Dimov, U. Jaekel, H. Vereecken, D. Wendt
    Pages 189-204

  13. Monte Carlo Algorithms for Calculating Eigenvalues

    • I. T. Dimov, A. N. Karaivanova, P. I. Yordanova
    Pages 205-220

  14. Construction of digital nets from BCH-codes

    • Yves Edel, Jürgen Bierbrauer
    Pages 221-231

  15. Discrepancy lower bounds for special quasi-random sequences

    • Henri Faure
    Pages 232-237

  16. Computing Discrepancies Related to Spaces of Smooth Periodic Functions

    • Karin Frank, Stefan Heinrich
    Pages 238-250

  17. On correlation analysis of pseudorandom numbers

    • Peter Hellekalek
    Pages 251-265

  18. Quasi-Monte Carlo, Discrepancies and Error Estimates

    • Jiri Hoogland, Fred James, Ronald Kleiss
    Pages 266-276

  19. The Quasi-Random Walk

    • Alexander Keller
    Pages 277-291

  20. Comparison of independent and stratified sampling schemes in problems of global optimization

    • Marina Kondratovich, Anatoly Zhigljaysky
    Pages 292-299
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Keywords

About this book

Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.

Editors and Affiliations

  • Institute of Information Processing, Austrian Academy of Sciences, Vienna, Austria

    Harald Niederreiter

  • Department of Mathematics, University of Salzburg, Salzburg, Austria

    Peter Hellekalek, Gerhard Larcher, Peter Zinterhof

Bibliographic Information

  • Book Title: Monte Carlo and Quasi-Monte Carlo Methods 1996

  • Book Subtitle: Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996

  • Editors: Harald Niederreiter, Peter Hellekalek, Gerhard Larcher, Peter Zinterhof

  • Series Title: Lecture Notes in Statistics

  • DOI: https://doi.org/10.1007/978-1-4612-1690-2

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Science+Business Media, LLC, part of Springer Nature 1998

  • Softcover ISBN: 978-0-387-98335-6Published: 14 November 1997

  • eBook ISBN: 978-1-4612-1690-2Published: 06 December 2012

  • Series ISSN: 0930-0325

  • Series E-ISSN: 2197-7186

  • Edition Number: 1

  • Number of Pages: XII, 450

  • Number of Illustrations: 26 b/w illustrations

  • Topics: Applications of Mathematics

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