Randomly Shifted Lattice Rules with Importance Sampling and Applications
In financial and statistical computations, calculating expectations often requires evaluating integrals with respect to a Gaussian measure. Monte Carlo methods are widely used for this purpose due to their dimension-independent convergence rate. Quasi-Monte Carlo is the deterministic analogue of Mon...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2024-02-01
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| Series: | Mathematics |
| Assuntos: | |
| Acceso en liña: | https://www.mdpi.com/2227-7390/12/5/630 |
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