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Items for "Numerical Integration"

A partial sampling method applied to the Kusuoka approximation

The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients...

Keywords: stochastic differential equation, Simulation, Diffusion Process, Monte Carlo, Quasi-Monte Carlo, Numerical Integration, Finance

01/2003 | Monte Carlo Methods and Applications, Walter de Gruyter
Optimal quadratic quantization for numerics: the Gaussian case

Optimal quantization has been recently revisited in multi-dimensional numerical integration, multi-asset American option pricing, control theory and nonlinear filtering theory...

Keywords: Optimal quantization, stochastic gradient methods, Numerical Integration

04/2003 | Monte Carlo Methods and Applications, Walter de Gruyter