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Items for "Quasi-Monte Carlo"

On global sensitivity analysis of quasi-Monte Carlo algorithms

Different Quasi-Monte Carlo algorithms corresponding to the same Monte Carlo algorithm are considered...

Keywords: Monte Carlo, Quasi-Monte Carlo, Global sensitivity analysis, Brownian bridge

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter

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

Modelling correlated random variables

A sampling problem with incomplete data is considered: modelling of a random vector when only marginal distributions of its components and their correlation coefficients are known...

Keywords: Monte Carlo, Quasi-Monte Carlo, correlation

01/2003 | Monte Carlo Methods and Applications, Walter de Gruyter

Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods

Monte Carlo methods are now widely used in solving various computational fluid dynamics systems...

Keywords: Quasi-Monte Carlo, parallel computing, scrambled sequences, sensitivity derivatives, computational fluid dynamics