Ebook: Monte Carlo and Quasi-Monte Carlo Methods 2010

This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

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This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

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This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.
Content:
Front Matter....Pages i-xii
Front Matter....Pages 1-1
Markov Bridges, Bisection and Variance Reduction....Pages 3-22
Upper Bounds in Discrepancy Theory....Pages 23-41
Entropy, Randomization, Derandomization, and Discrepancy....Pages 43-78
Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes....Pages 79-93
Stochastic Approximation of Functions and Applications....Pages 95-131
On Figures of Merit for Randomly-Shifted Lattice Rules....Pages 133-159
A Study of the Efficiency of Exact Methods for Diffusion Simulation....Pages 161-187
Polynomial Lattice Point Sets....Pages 189-210
Liberating the Dimension for Function Approximation and Integration....Pages 211-231
Front Matter....Pages 233-233
A Component-by-Component Construction for the Trigonometric Degree....Pages 235-253
Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration....Pages 255-263
Geometric and Statistical Properties of Pseudorandom Number Generators Based on Multiple Recursive Transformations....Pages 265-280
Computing Greeks Using Multilevel Path Simulation....Pages 281-296
Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model....Pages 297-311
New Inputs and Methods for Markov Chain Quasi-Monte Carlo....Pages 313-327
Extensions of Atanassov’s Methods for Halton Sequences....Pages 329-344
Applicability of Subsampling Bootstrap Methods in Markov Chain Monte Carlo....Pages 345-362
QMC Computation of Confidence Intervals for a Sleep Performance Model....Pages 363-372
Options Pricing for Several Maturities in a Jump-Diffusion Model....Pages 373-384
Front Matter....Pages 385-398
Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals....Pages 233-233
Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation....Pages 399-408
Spatial/Angular Contributon Maps for Improved Adaptive Monte Carlo Algorithms....Pages 409-418
Hybrid Function Systems in the Theory of Uniform Distribution of Sequences....Pages 419-434
An Intermediate Bound on the Star Discrepancy....Pages 435-449
On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws....Pages 451-469
Parallel Quasi-Monte Carlo Integration by Partitioning Low Discrepancy Sequences....Pages 471-486
Quasi-Monte Carlo Progressive Photon Mapping....Pages 487-498
Value Monte Carlo Algorithms for Estimating the Solution to the Coagulation Equation....Pages 499-509
Numerical Simulation of the Drop Size Distribution in a Spray....Pages 511-522
Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques....Pages 523-537
Accelerating the Convergence of Lattice Methods by Importance Sampling-Based Transformations....Pages 539-555
Exact Simulation of Occupation Times....Pages 557-572
A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance....Pages 573-587
Random and Deterministic Digit Permutations of the Halton Sequence....Pages 589-607
A Quasi Monte Carlo Method for Large-Scale Inverse Problems....Pages 609-622
In Search for Good Chebyshev Lattices....Pages 623-637
Approximation of Functions from a Hilbert Space Using Function Values or General Linear Information....Pages 639-654
High Order Weak Approximation Schemes for L?vy-Driven SDEs....Pages 655-665
High-Discrepancy Sequences for High-Dimensional Numerical Integration....Pages 667-683
Front Matter....Pages 685-694
Multilevel Path Simulation for Jump-Diffusion SDEs....Pages 233-233
Randomized Algorithms for Hamiltonian Simulation....Pages 695-708
Back Matter....Pages 709-719
....Pages 721-732