Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014

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Ronald Cools, Dirk Nuyens
Springer, Jun 13, 2016 - Mathematics - 622 pages
This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. 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. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
 

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Contents

Part I Invited Papers
2
Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes
3
Construction of a Mean Square Error Adaptive EulerMaruyama Method With Applications in Multilevel Monte Carlo
28
Vandermonde Nets and Vandermonde Sequences
87
Path Space Markov Chain Monte Carlo Methods in Computer Graphics
107
An Easy Measure for Higher Order Convergent QMC
142
Some Results on the Complexity of Numerical Integration
161
A Survey on Recent Results
185
Reliable Adaptive Cubature Using Digital Sequences
367
Optimal Point Sets for QuasiMonte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives
384
Adaptive Multidimensional Integration Based on Rank1 Lattices
407
Path Space Filtering
423
Tractability of Multivariate Integration in Hybrid Function Spaces
437
DerivativeBased Global Sensitivity Measures and Their Link with Sobol Sensitivity Indices
455
Bernstein Numbers and Lower Bounds for the Monte Carlo Error
470
A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
489

Part II Contributed Papers
206
Multilevel Monte Carlo Simulation of Statistical Solutions to the NavierStokes Equations
209
Unbiased Simulation of Distributions with Explicitly Known Integral Transforms
228
Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting
245
Comparison Between LSSequences and βAdic van der Corput Sequences
261
Computational Higher Order QuasiMonte Carlo Integration
271
Numerical Computation of Multivariate Normal Probabilities Using Bivariate Conditioning
289
Nonnested Adaptive Timesteps in Multilevel Monte Carlo Computations
303
On ANOVA Decompositions of Kernels and Gaussian Random Field Paths
315
The Mean Square QuasiMonte Carlo Error for Digitally Shifted Digital Nets
331
Uncertainty and Robustness in Weather Derivative Models
351
A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation
507
A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
521
Van der Corput and Golden Ratio Sequences Along the Hilbert SpaceFilling Curve
531
Uniform Weak Tractability of Weighted Integration
545
Incremental Greedy Algorithm and Its Applications in Numerical Integration
556
On Upper Error Bounds for Quadrature Formulas on Function Classes by KK Frolov
571
Tractability of Function Approximation with Product Kernels
583
Discrepancy Estimates For AcceptanceRejection Samplers Using Stratified Inputs
599
Index
620
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