Pierre L` Ecuyer; Art B. Owen Monte Carlo and Quasi-Monte Carlo Methods 2008 9783642425240

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Автор: Pierre L` Ecuyer; Art B. Owen
Название: Monte Carlo and Quasi-Monte Carlo Methods 2008
ISBN: 9783642425240
Издательство: Springer
Классификация:

Исследование операций

Основы высшей математики и математический анализ

Вычислительная математика

Математика для специалистов в области теории вычислительных систем

ISBN-10: 3642425240
Обложка/Формат: Paperback
Страницы: 672
Вес: 0.94 кг.
Дата издания: 04.11.2014
Язык: English
Размер: 234 x 156 x 35
Основная тема: Mathematics
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: Tutorials.- Monte Carlo and Quasi-Monte Carlo for Statistics.- Monte Carlo Computation in Finance.- Invited Articles.- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation.- Computational Complexity of Metropolis-Hastings Methods in High Dimensions.- On Quasi-Monte Carlo Rules Achieving Higher Order Convergence.- Sensitivity Estimates for Compound Sums.- New Perspectives on (0, )-Sequences.- Variable Subspace Sampling and Multi-level Algorithms.- Markov Chain Monte Carlo Algorithms: Theory and Practice.- MINT - New Features and New Results.- Contributed Articles.- Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC.- Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems.- Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune....- Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence.- Extensions of Fibonacci Lattice Rules.- Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics.- Parallel Random Number Generators Based on Large Order Multiple Recursive Generators.- Efficient Numerical Inversion for Financial Simulations.- Equidistribution Properties of Generalized Nets and Sequences.- Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples.- Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium.- Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base.- Vibrato Monte Carlo Sensitivities.- The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models.- -Nets and Maximized Minimum Distance, Part II.- Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion.- On Subsequences of Niederreiter-Halton Sequences.- Correcting the Bias in Monte Carlo Estimators of American-style Option Values.- Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps.- Adaptive Monte Carlo Algorithms for General Transport Problems.- On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates.- Testing the Tests: Using Random Number Generators to Improve Empirical Tests.- Stochastic Spectral Formulations for Elliptic Problems.- Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options.- Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent.- Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences.- Discrepancy of Hyperplane Nets and Cyclic Nets.- A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition.- On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules.- Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields.- Greens Functions by Monte Carlo.- Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan

Monte Carlo and Quasi-Monte Carlo Methods 2008, Pierre L` Ecuyer; Art B. Owen