Monte Carlo and Quasi-Monte Carlo Methods 2010

Editors:

ISBN: 978-3-642-27439-8 (Print) 978-3-642-27440-4 (Online)

Table of contents (42 chapters)

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  1. Front Matter

    Pages i-xii

  2. Invited articles

    1. Front Matter

      Pages 1-1

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      Book Chapter

      Pages 3-22

      Markov Bridges, Bisection and Variance Reduction

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      Book Chapter

      Pages 23-41

      Upper Bounds in Discrepancy Theory

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      Book Chapter

      Pages 43-78

      Entropy, Randomization, Derandomization, and Discrepancy

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      Book Chapter

      Pages 79-93

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

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      Book Chapter

      Pages 95-131

      Stochastic Approximation of Functions and Applications

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      Book Chapter

      Pages 133-159

      On Figures of Merit for Randomly-Shifted Lattice Rules

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      Book Chapter

      Pages 161-187

      A Study of the Efficiency of Exact Methods for Diffusion Simulation

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      Book Chapter

      Pages 189-210

      Polynomial Lattice Point Sets

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      Book Chapter

      Pages 211-231

      Liberating the Dimension for Function Approximation and Integration

  3. Contributed Articles

    1. Front Matter

      Pages 233-233

    2. No Access

      Book Chapter

      Pages 235-253

      A Component-by-Component Construction for the Trigonometric Degree

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      Book Chapter

      Pages 255-263

      Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration

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      Book Chapter

      Pages 265-280

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

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      Book Chapter

      Pages 281-296

      Computing Greeks Using Multilevel Path Simulation

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      Book Chapter

      Pages 297-311

      Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model

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      Book Chapter

      Pages 313-327

      New Inputs and Methods for Markov Chain Quasi-Monte Carlo

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      Book Chapter

      Pages 329-344

      Average Case Approximation: Convergence and Tractability of Gaussian Kernels

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      Book Chapter

      Pages 345-362

      Extensions of Atanassov’s Methods for Halton Sequences

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      Book Chapter

      Pages 363-372

      Applicability of Subsampling Bootstrap Methods in Markov Chain Monte Carlo

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      Book Chapter

      Pages 373-384

      QMC Computation of Confidence Intervals for a Sleep Performance Model

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      Book Chapter

      Pages 385-398

      Options Pricing for Several Maturities in a Jump-Diffusion Model

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