Monte Carlo and Quasi-Monte Carlo Methods 2002 - neues Buch

EAN (ISBN-13): 9783642187438
Erscheinungsjahr: 2002
Herausgeber: Springer Berlin Heidelberg

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ISBN/EAN: 9783642187438

ISBN - alternative Schreibweisen:
978-3-642-18743-8
Alternative Schreibweisen und verwandte Suchbegriffe:
Titel des Buches: quasi quasi, monte carlo, republic national

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Daten vom Verlag:

Autor/in: Harald Niederreiter
Titel: Monte Carlo and Quasi-Monte Carlo Methods 2002 - Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25–28, 2002
Verlag: Springer; Springer Berlin
460 Seiten
Erscheinungsjahr: 2011-06-28
Berlin; Heidelberg; DE
Sprache: Englisch
234,33 € (DE)
240,90 € (AT)
271,50 CHF (CH)
Available
XX, 460 p. 27 illus.

EA; E107; eBook; Nonbooks, PBS / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Wahrscheinlichkeitsrechnung und Statistik; Verstehen; Markov Chain; Markov Chains; Monte Carlo methods; Numerical integration; Stochastic Processes; Stochastic model; Stochastic models; algorithms; calculus; mathematical finance; quasi-Monte Carlo methods; random number generation; scientific computing; sets; simulation methods; quantitative finance; C; Probability Theory and Stochastic Processes; Computational Mathematics and Numerical Analysis; Applications of Mathematics; Statistics for Business, Management, Economics, Finance, Insurance; Quantitative Finance; Probability Theory; Computational Mathematics and Numerical Analysis; Applications of Mathematics; Statistics in Business, Management, Economics, Finance, Insurance; Mathematics in Business, Economics and Finance; Mathematics and Statistics; Stochastik; Numerische Mathematik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC

Invited Papers.- Finance: A Fertile Field for Applications of MC and QMC.- How Many Random Bits Do We Need for Monte Carlo Integration?.- On Tractability of Weighted Integration for Certain Banach Spaces of Functions.- Polynomial Integration Lattices.- Approximate Bayesian Computation and MCMC.- New Challenges for the Simulation of Stochastic Processes.- Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equations.- Digital Nets, Duality, and Algebraic Curves.- Contributed Papers.- Generalized Mersenne Prime Number and Its Application to Random Number Generation.- Constructing Good Lattice Rules with Millions of Points.- Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Period.- Simulation for American Options: Regression Now or Regression Later?.- Perturbation Monte Carlo Methods for the Solution of Inverse Problems.- Quantum Boolean Summation with Repetitions in the Worst-Average Setting.- The Strong Tractability of Multivariate Integration Using Lattice Rules.- Minimizing Effective Dimension Using Linear Transformation.- Component by Component Construction of Rank-1 Lattice Rules Having O(n-1(ln(n))d) Star Discrepancy.- Stratification by Rank-1 Lattices.- Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequences.- Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chains.- Quasi-Monte Carlo Methods for Elliptic BVPs.- Stable Connectivity of Networks and Its Monte Carlo Estimation.- Random Number Generators Based on Linear Recurrences in % MathType!MTEF!2!1!+- % feaagaart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn % hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbWexLMBb50ujbqegm0B % 1jxALjharqqr1ngBPrgifHhDYfgasaacH8srps0lbbf9q8WrFfeuY- % Hhbbf9v8qqaqFr0xc9pk0xbba9q8WqFfea0-yr0RYxir-Jbba9q8aq % 0-yq-He9q8qqQ8frFve9Fve9Ff0dmeaabaqaciaacaGaaeqabaWaae % aaeaaakeaatuuDJXwAK1uy0HMmaeXbfv3ySLgzG0uy0HgiuD3BaGqb % biab-vi8gnaaBaaaleaacaaIYaWaaWbaaWqabeaaryqr1ngBPrgaiy % GacqGF3bWDaaaaleqaaaaa!4C2E! $$ \\mathbb{F}_{2^w } $$.- Using Quasi-Monte Carlo Scenarios in Risk Management.- Adaptive Quasi-Monte Carlo Integration Based on MISER and VEGAS.- When Does Monte Carlo Depend Polynomially on the Number of Variables?.- A New Adaptive Method for Geometric Convergence.- Polynomial Arithmetic Analogue of Hickernell Sequences.