Monte Carlo and Quasi-Monte Carlo Methods 2010

1. Front Matter

   Pages i-xii

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2. Invited Articles

   1. Front Matter

      Pages 1-1

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3. Invited articles

   1. Markov Bridges, Bisection and Variance Reduction

      • Søren Asmussen, Asger Hobolth

      Pages 3-22

   2. Upper Bounds in Discrepancy Theory

      • William W. L. Chen

      Pages 23-41

   3. Entropy, Randomization, Derandomization, and Discrepancy

      • Michael Gnewuch

      Pages 43-78

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

      • E. Gobet

      Pages 79-93

   5. Stochastic Approximation of Functions and Applications

      • Stefan Heinrich

      Pages 95-131

   6. On Figures of Merit for Randomly-Shifted Lattice Rules

      • Pierre L’Ecuyer, David Munger

      Pages 133-159

   7. A Study of the Efficiency of Exact Methods for Diffusion Simulation

      • Stefano Peluchetti, Gareth O. Roberts

      Pages 161-187

   8. Polynomial Lattice Point Sets

      • Friedrich Pillichshammer

      Pages 189-210

   9. Liberating the Dimension for Function Approximation and Integration

      • G. W. Wasilkowski

      Pages 211-231

4. Contributed Articles

   1. Front Matter

      Pages 233-233

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   2. A Component-by-Component Construction for the Trigonometric Degree

      • Nico Achtsis, Dirk Nuyens

      Pages 235-253

   3. Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration

      • Jan Baldeaux

      Pages 255-263

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

      • L. Yu. Barash

      Pages 265-280

   5. Computing Greeks Using Multilevel Path Simulation

      • Sylvestre Burgos, Michael B. Giles

      Pages 281-296

   6. Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model

      • Aleksandr Burmistrov, Mariya Korotchenko

      Pages 297-311

   7. New Inputs and Methods for Markov Chain Quasi-Monte Carlo

      • Su Chen, Makoto Matsumoto, Takuji Nishimura, Art B. Owen

      Pages 313-327

   8. Average Case Approximation: Convergence and Tractability of Gaussian Kernels

      • G. E. Fasshauer, F. J. Hickernell, H. Woźniakowski

      Pages 329-344

   9. Extensions of Atanassov’s Methods for Halton Sequences

      • Henri Faure, Christiane Lemieux, Xiaoheng Wang

      Pages 345-362

This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

• Monte Carlo and quasi-Monte Carlo methods
• high-dimensional problems
• low discrepancy points, digital nets, and lattice rules
• random and pseudorandom numbers
• random processes
• algorithm analysis and problem complexity
• quantitative finance

• , Institute of Applied Mathematics, University of Warsaw, Warsaw, Poland

  Leszek Plaskota, Henryk Woźniakowski

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