Monte Carlo and Quasi-Monte Carlo Methods 1996: Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996

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Harald Niederreiter, Peter Hellekalek, Gerhard Larcher, Peter Zinterhof, Peter J. Bickel, P. Diggle, S. Fienberg, K. Krickeberg, I. Olkin
Springer Science & Business Media, 1998 - Mathematics - 448 pages
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.
 

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Contents

A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing
1
a powerful tool of statistical physics
19
Binary search trees based on Weyl and Lehmer sequences
40
A survey of quadratic and inversive congruential pseudorandom numbers
66
A Look At Multilevel Splitting
98
On the Distribution of Digital Sequences
109
Random Number Generators and Empirical Tests
124
The AlgebraicGeometry Approach to LowDiscrepancy Sequences
139
The QuasiRandom Walk
277
The rate of convergence to a stable law for the random sum of iid random variables
300
Some Bounds on the Figure of Merit of a Lattice Rule
308
QuasiMonte Carlo integration of digitally smooth functions by digital nets
321
Weak limits for the diaphony
330
QuasiMonte Carlo Simulation of Random Walks in Finance
340
Error Estimation for QuasiMonte Carlo Methods
353
a New Class of Binary Digital t m sNets
369

A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliability
161
Monte Carlo and quasiMonte Carlo algorithms for a linear integrodifferential equation
176
A Numerical Approach for Determination of Sources in Reactive Transport Equations
189
Monte Carlo Algorithms for Calculating Eigenvalues
205
Construction of digital nets from BCHcodes
221
Computing Discrepancies Related to Spaces of Smooth Periodic Functions
238
On correlation analysis of pseudorandom numbers
251
Part I Matrix Problems
382
QuasiMonte Carlo Methods for Integral Equations
398
Quadratic Congruential Generators With Odd Composite Modulus
415
A new permutation choice in Halton sequences
427
Optimal UType Designs
436
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