Monte Carlo and Quasi-Monte Carlo Methods 2010

Table of Contents

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   Book Overview
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   Chapter 1 Markov Bridges, Bisection and Variance Reduction
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   Chapter 2 Upper Bounds in Discrepancy Theory
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   Chapter 3 Entropy, Randomization, Derandomization, and Discrepancy
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   Chapter 4 Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes
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   Chapter 5 Stochastic Approximation of Functions and Applications
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   Chapter 6 On Figures of Merit for Randomly-Shifted Lattice Rules
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   Chapter 7 A Study of the Efficiency of Exact Methods for Diffusion Simulation
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   Chapter 8 Polynomial Lattice Point Sets
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    Chapter 9 Liberating the Dimension for Function Approximation and Integration
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    Chapter 10 A Component-by-Component Construction for the Trigonometric Degree
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    Chapter 11 Scrambled Polynomial Lattice Rules for Infinite-Dimensional Integration
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    Chapter 12 Geometric and Statistical Properties of Pseudorandom Number Generators Based on Multiple Recursive Transformations
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    Chapter 13 Computing Greeks Using Multilevel Path Simulation
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    Chapter 14 Weight Monte Carlo Method Applied to Acceleration Oriented Traffic Flow Model
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    Chapter 15 New Inputs and Methods for Markov Chain Quasi-Monte Carlo
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    Chapter 16 Average Case Approximation: Convergence and Tractability of Gaussian Kernels
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    Chapter 17 Extensions of Atanassov’s Methods for Halton Sequences
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    Chapter 18 Applicability of Subsampling Bootstrap Methods in Markov Chain Monte Carlo
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    Chapter 19 QMC Computation of Confidence Intervals for a Sleep Performance Model
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    Chapter 20 Options Pricing for Several Maturities in a Jump-Diffusion Model
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    Chapter 21 Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals
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    Chapter 22 Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation
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    Chapter 23 Spatial/Angular Contributon Maps for Improved Adaptive Monte Carlo Algorithms
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    Chapter 24 Hybrid Function Systems in the Theory of Uniform Distribution of Sequences
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    Chapter 25 An Intermediate Bound on the Star Discrepancy
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    Chapter 26 On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws
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    Chapter 27 Parallel Quasi-Monte Carlo Integration by Partitioning Low Discrepancy Sequences
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    Chapter 28 Quasi-Monte Carlo Progressive Photon Mapping
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    Chapter 29 Value Monte Carlo Algorithms for Estimating the Solution to the Coagulation Equation
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    Chapter 30 Numerical Simulation of the Drop Size Distribution in a Spray
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    Chapter 31 Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques
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    Chapter 32 Accelerating the Convergence of Lattice Methods by Importance Sampling-Based Transformations
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    Chapter 33 Exact Simulation of Occupation Times
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    Chapter 34 A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
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    Chapter 35 Random and Deterministic Digit Permutations of the Halton Sequence
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    Chapter 36 Monte Carlo and Quasi-Monte Carlo Methods 2010
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    Chapter 37 In Search for Good Chebyshev Lattices
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    Chapter 38 Approximation of Functions from a Hilbert Space Using Function Values or General Linear Information
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    Chapter 39 High Order Weak Approximation Schemes for Lévy-Driven SDEs
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    Chapter 40 High-Discrepancy Sequences for High-Dimensional Numerical Integration
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    Chapter 41 Multilevel Path Simulation for Jump-Diffusion SDEs
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    Chapter 42 Randomized Algorithms for Hamiltonian Simulation