Monte Carlo and Quasi-Monte Carlo Methods 1996: Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996 - Brossura

Brossura

ISBN 10: 1461216915 ISBN 13: 9781461216919

Casa editrice: Springer, 2011

Riassunto

Invited Papers.- A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing.- Monte Carlo Methods: A Powerful Tool of Statistical Physics.- Binary Search Trees Based on Weyl and Lehmer Sequences.- A Survey of Quadratic and Inversive Congruential Pseudorandom Numbers.- A Look at Multilevel Splitting.- On the Distribution of Digital Sequences.- Random Number Generators and Empirical Tests.- The Algebraic-Geometry Approach to Low-Discrepancy Sequences.- Contributed Papers.- A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliability.- Monte Carlo and Quasi-Monte Carlo Algorithms for a Linear Integro-Differential Equation.- A Numerical Approach for Determination of Sources in Reactive Transport Equations.- Monte Carlo Algorithms for Calculating Eigenvalues.- Construction of Digital Nets from BCH-Codes.- Discrepancy Lower Bounds for Special Quasi-Random Sequences.- Computing Discrepancies Related to Spaces of Smooth Periodic Functions.- On Correlation Analysis of Pseudorandom Numbers.- Quasi-Monte Carlo, Discrepancies and Error Estimates.- The Quasi-Random Walk.- Comparison of Independent and Stratified Sampling Schemes in Problems of Global Optimization.- The Rate of Convergence to a Stable Law for the Random Sum of IID Random Variables.- Some Bounds on the Figure of Merit of a Lattice Rule.- Quasi-Monte Carlo Integration of Digitally Smooth Functions by Digital Nets.- Weak Limits for the Diaphony.- Quasi-Monte Carlo Simulation of Random Walks in Finance.- Error Estimation for Quasi-Monte Carlo Methods.- Shift-Nets: A New Class of Binary Digital (tms)-Nets.- General Sequential Sampling Techniques for Monte Carlo Simulations: Part I - Matrix Problems.- Quasi-Monte Carlo Methods for Integral Equations.- Quadratic Congruential Generators with Odd Composite Modulus.- A New Permutation Choice in Halton Sequences.- Optimal U-Type Designs.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 1461216915
• ISBN 13: 9781461216919
• Rilegatura: Paperback
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile