Monte Carlo and Quasi-Monte Carlo Methods 2012

Publisher Springer

Format

eBook

2nd Edition 1st Edition

Quantity

Add New

Publisher

Springer

Volume

Copyright

2013

ISBN13

9783642410956

Release

Format

eBook

Grade Level

College Freshman - College Senior

DDC
TBD

Overview

This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. 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, statistics and computer graphics.
Front Cover.
Other Frontmatter.
Other Frontmatter.
Title Page.
Copyright Page.
Preface.
Contents.
1: Invited Articles.
2: Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation.
3: The Supremum Norm of the Discrepancy Function: Recent Results and Connections.
4: An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance.
5: Multilevel Monte Carlo Methods.
6: Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling.
7: Discrepancy, Integration and Tractability.
8: Noisy Information: Optimality, Complexity, Tractability.
9: Tutorial.
10: Quasi-Monte Carlo Image Synthesis in a Nutshell.
11: Contributed Articles.
12: Conditional Sampling for Barrier Option Pricing Under the Heston Model.
13: Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices.
14: The L2 Discrepancy of Irrational Lattices.
15: Complexity of Banach Space Valued and Parametric Integration.
16: Extended Latin Hypercube Sampling for Integration and Simulation.
17: A Kernel-Based Collocation Method for Elliptic Partial Differential Equations with Random Coefficients.
18: Polynomial Accelerated MCMC and Other Sampling Algorithms Inspired by Computational Optimization.
19: Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs.
20: On the Convergence of Quantum and Sequential Monte Carlo Methods.
21: Lower Error Bounds for Randomized Multilevel and Changing Dimension Algorithms.
22: A Non-empirical Test on the Second to the Sixth Least Significant Bits of Pseudorandom Number Generators.
23: A Finite-Row Scrambling of Niederreiter Sequences.
24: Reconstructing Multivariate Trigonometric Polynomials by Sampling Along Generated Sets.
25: Bayesian Approaches to the Design of Markov Chain Monte Carlo Samplers.
26: Deterministic Consistent Density Estimation for Light Transport Simulation.
27: On Wavelet-Galerkin Methods for Semilinear Parabolic Equations with
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Monte Carlo and Quasi-Monte Carlo Methods 2012

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