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Recent Advances in Randomized Quasi-Monte Carlo Methods
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/0471667196.ess1558openalex-snapshot
Mathematics of Computation
inferredcites →https://doi.org/10.1006/jcom.1998.0487openalex-snapshot
Scrambling Sobol' and Niederreiter–Xing Points
inferredcites →https://doi.org/10.1006/jcom.1998.0489openalex-snapshot
On theL2-Discrepancy for Anchored Boxes
inferredcites →https://doi.org/10.1006/jcom.2001.0590openalex-snapshot
Variations on (0, s)-Sequences
inferredcites →https://doi.org/10.1006/jcom.2001.0593openalex-snapshot
The Price of Pessimism for Multidimensional Quadrature
inferredcites →https://doi.org/10.1006/jcom.2001.0597openalex-snapshot
Calculation of the Quality Parameter of Digital Nets and Application to Their Construction
inferredcites →https://doi.org/10.1007/3-540-45333-4_14openalex-snapshot
Integration of Multivariate Haar Wavelet Series
inferredcites →https://doi.org/10.1007/978-1-4612-0919-5_20openalex-snapshot
A Class of Statistics with Asymptotically Normal Distribution
inferredcites →https://doi.org/10.1007/978-1-4612-1690-2_1openalex-snapshot
A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing
inferredcites →https://doi.org/10.1007/978-1-4612-1690-2_8openalex-snapshot
The Algebraic-Geometry Approach to Low-Discrepancy Sequences
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2openalex-snapshot
Random and Quasi-Random Point Sets
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_2openalex-snapshot
On the Assessment of Random and Quasi-Random Point Sets
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_3openalex-snapshot
Lattice Rules: How Well Do They Measure Up?
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_4openalex-snapshot
Digital Point Sets: Analysis and Application
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_6openalex-snapshot
Nets, (t, s)-Sequences, and Algebraic Geometry
inferredcites →https://doi.org/10.1007/978-1-4612-2552-2_1openalex-snapshot
Modified Monte Carlo Methods Using Quasi-Random Sequences
inferredcites →https://doi.org/10.1007/978-1-4612-2552-2_19openalex-snapshot
Randomly Permuted (t,m,s)-Nets and (t, s)-Sequences
inferredcites →https://doi.org/10.1007/978-1-4612-2552-2_6openalex-snapshot
Quasi-Monte Carlo Methods for Particle Transport Problems
inferredcites →https://doi.org/10.1007/978-1-4615-5221-5openalex-snapshot
Strategies for Quasi-Monte Carlo
inferredcites →https://doi.org/10.1007/978-1-4757-6568-7openalex-snapshot
Sphere Packings, Lattices and Groups
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_17openalex-snapshot
Fast Generation of Randomized Low-Discrepancy Point Sets
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_22openalex-snapshot
Quasi-Regression and the Relative Importance of the ANOVA Components of a Function
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_30openalex-snapshot
A Software Implementation of Niederreiter-Xing Sequences
inferredcites →https://doi.org/10.1007/978-3-642-59657-5_12openalex-snapshot
Quasi-Monte Carlo Node Sets from Linear Congruential Generators
inferredcites →https://doi.org/10.1007/978-3-642-59657-5_2openalex-snapshot
What Affects the Accuracy of Quasi-Monte Carlo Quadrature?
inferredcites →https://doi.org/10.1007/978-3-642-59657-5_26openalex-snapshot
A Practical Approach to the Error Estimation of Quasi-Monte Carlo Integrations
inferredcites →https://doi.org/10.1007/978-94-011-3288-6openalex-snapshot
Walsh Series and Transforms
inferredcites →https://doi.org/10.1007/bf01294651openalex-snapshot
Point sets and sequences with small discrepancy
inferredcites →https://doi.org/10.1007/bf01298952openalex-snapshot
Digital nets and sequences constructed over finite rings and their application to quasi-Monte Carlo integration
inferredcites →https://doi.org/10.1007/bf01386213openalex-snapshot
On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
inferredcites →https://doi.org/10.1007/bf01387711openalex-snapshot
Zur angen�herten Berechnung mehrfacher Integrale
inferredcites →https://doi.org/10.1007/bf02415361openalex-snapshot
Funktionen von beschränkter Variatiou in der Theorie der Gleichverteilung
inferredcites →https://doi.org/10.1007/bf02510355openalex-snapshot
Quasi-monte carlo methods for numerical integration of multivariate Haar series
inferredcites →https://doi.org/10.1007/bf02512368openalex-snapshot
Quasi-Monte Carlo methods for numerical integration of multivariate Haar series II
inferredcites →https://doi.org/10.1007/bf02684386openalex-snapshot
Variance reduction order using good lattice points in monte carlo methods
inferredcites →https://doi.org/10.1007/bfb0121112openalex-snapshot
Multidimensional numerical integration using pseudorandom numbers
inferredcites →https://doi.org/10.1016/0021-9991(79)90019-6openalex-snapshot
An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
inferredcites →https://doi.org/10.1016/0022-314x(88)90025-xopenalex-snapshot
Low-discrepancy and low-dispersion sequences
inferredcites →https://doi.org/10.1016/0041-5553(67)90144-9openalex-snapshot
On the distribution of points in a cube and the approximate evaluation of integrals
inferredcites →https://doi.org/10.1016/0041-5553(76)90154-3openalex-snapshot
Uniformly distributed sequences with an additional uniform property
inferredcites →https://doi.org/10.1016/0041-5553(79)90085-5openalex-snapshot
An economic method of computing LPτ-sequences
inferredcites →https://doi.org/10.1016/0169-2070(93)90088-5openalex-snapshot
Journal of the Royal Statistical Society (B)
inferredcites →https://doi.org/10.1016/b978-0-12-775950-0.50010-8openalex-snapshot
Recherche et Utilisation des “Bons Treillis.” Programmation et Résultats Numériques
inferredcites →https://doi.org/10.1016/j.jco.2014.12.003openalex-snapshot
On the approximate calculation of multiple integrals
inferredcites →https://doi.org/10.1016/s0165-1889(97)00028-6openalex-snapshot
Monte Carlo methods for security pricing
inferredcites →https://doi.org/10.1016/s0165-1889(99)00087-1openalex-snapshot
Applications of randomized low discrepancy sequences to the valuation of complex securities
inferredcites →https://doi.org/10.1016/s0167-7152(98)00293-4openalex-snapshot
Goodness-of-fit statistics, discrepancies and robust designs
inferredcites →https://doi.org/10.1016/s0377-0427(97)00190-8openalex-snapshot
A space quantization method for numerical integration
inferredcites →https://doi.org/10.1016/s0378-4754(00)00254-8openalex-snapshot
On selection criteria for lattice rules and other quasi-Monte Carlo point sets
inferredcites →https://doi.org/10.1016/s0895-7177(00)00178-3openalex-snapshot
Randomized Halton sequences
inferredcites →https://doi.org/10.1017/cbo9781139172769openalex-snapshot
Introduction to Finite Fields and their Applications
inferredcites →https://doi.org/10.1090/s0025-5718-03-01531-xopenalex-snapshot
Optimal quadrature for Haar wavelet spaces
inferredcites →https://doi.org/10.1090/s0025-5718-1965-0184406-1openalex-snapshot
Random Numbers Generated by Linear Recurrence Modulo Two
inferredcites →https://doi.org/10.1090/s0025-5718-1975-0379386-6openalex-snapshot
How to Calculate Shortest Vectors in a Lattice
inferredcites →https://doi.org/10.1090/s0025-5718-1983-0701628-xopenalex-snapshot
Parameters for Integrating Periodic Functions of Several Variables
inferredcites →https://doi.org/10.1090/s0025-5718-1985-0777278-8openalex-snapshot
Improved Methods for Calculating Vectors of Short Length in a Lattice, Including a Complexity Analysis
inferredcites →https://doi.org/10.1090/s0025-5718-1990-0993929-9openalex-snapshot
Multiplicative congruential random number generators with modulus 2^{𝛽}: an exhaustive analysis for 𝛽=32 and a partial analysis for 𝛽=48
inferredcites →https://doi.org/10.1090/s0025-5718-1990-1001485-4openalex-snapshot
A Computer Search of Rank-2 Lattice Rules for Multidimensional Quadrature
inferredcites →https://doi.org/10.1090/s0025-5718-1993-1155576-0openalex-snapshot
On the Use of Reducible Polynomials as Random Number Generators
inferredcites →https://doi.org/10.1090/s0025-5718-1993-1176708-4openalex-snapshot
On the distribution of 𝑘-dimensional vectors for simple and combined Tausworthe sequences
inferredcites →https://doi.org/10.1090/s0025-5718-96-00696-5openalex-snapshot
Maximally equidistributed combined Tausworthe generators
inferredcites →https://doi.org/10.1090/s0025-5718-98-00894-1openalex-snapshot
A generalized discrepancy and quadrature error bound
inferredcites →https://doi.org/10.1090/s0025-5718-99-00996-5openalex-snapshot
Tables of linear congruential generators of different sizes and good lattice structure
inferredcites →https://doi.org/10.1090/s0025-5718-99-01112-6openalex-snapshot
Lattice computations for random numbers
inferredcites →https://doi.org/10.1093/oso/9780198534723.001.0001openalex-snapshot
Lattice Methods for Multiple Integration
inferredcites →https://doi.org/10.1109/wsc.2000.899781openalex-snapshot
A new class of linear feedback shift register generators
inferredcites →https://doi.org/10.1111/j.2517-6161.1992.tb01895.xopenalex-snapshot
A Central Limit Theorem for Latin Hypercube Sampling
inferredcites →https://doi.org/10.1137/0713071openalex-snapshot
Randomization of Number Theoretic Methods for Multiple Integration
inferredcites →https://doi.org/10.1137/0907002openalex-snapshot
An Exhaustive Analysis of Multiplicative Congruential Random Number Generators with Modulus $2^{31} - 1$
inferredcites →https://doi.org/10.1137/0915077openalex-snapshot
Quasi-Random Sequences and Their Discrepancies
inferredcites →https://doi.org/10.1137/1.9781611970081openalex-snapshot
Random Number Generation and Quasi-Monte Carlo Methods
inferredcites →https://doi.org/10.1137/1036002openalex-snapshot
Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
inferredcites →https://doi.org/10.1137/s0036142994264705openalex-snapshot
Optimal Polynomials for (T,M,S)-Nets and Numerical Integration of Multivariate Walsh Series
inferredcites →https://doi.org/10.1137/s0036142994277468openalex-snapshot
Monte Carlo Variance of Scrambled Net Quadrature
inferredcites →https://doi.org/10.1137/s1064827599356638openalex-snapshot
Extensible Lattice Sequences for Quasi-Monte Carlo Quadrature
inferredcites →https://doi.org/10.1145/116890.116892openalex-snapshot
Efficient and portable combined Tausworthe random number generators
inferredcites →https://doi.org/10.1145/146382.146385openalex-snapshot
Implementation and tests of low-discrepancy sequences
inferredcites →https://doi.org/10.1145/189443.189447openalex-snapshot
A note on polynomial arithmetic analogue of Halton sequences
inferredcites →https://doi.org/10.1145/198429.198436openalex-snapshot
Programs to generate Niederreiter's low-discrepancy sequences
inferredcites →https://doi.org/10.1145/22721.356187openalex-snapshot
Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
inferredcites →https://doi.org/10.1145/272991.273010openalex-snapshot
Latin supercube sampling for very high-dimensional simulations
inferredcites →https://doi.org/10.1145/27651.27657openalex-snapshot
Walsh-spectral test for GFSR pseudorandom numbers
inferredcites →https://doi.org/10.1145/321371.321379openalex-snapshot
Fourier Analysis of Uniform Random Number Generators
inferredcites →https://doi.org/10.1145/321765.321778openalex-snapshot
An Asymptotically Random Tausworthe Sequence
inferredcites →https://doi.org/10.1214/aoms/1177730196openalex-snapshot
A Class of Statistics with Asymptotically Normal Distribution
inferredcites →https://doi.org/10.1214/aos/1032526964openalex-snapshot
A combinatorial central limit theorem for randomized orthogonal array sampling designs
inferredcites →https://doi.org/10.1214/aos/1176325504openalex-snapshot
Lattice Sampling Revisited: Monte Carlo Variance of Means Over Randomized Orthogonal Arrays
inferredcites →https://doi.org/10.1214/aos/1176345462openalex-snapshot
The Jackknife Estimate of Variance
inferredcites →https://doi.org/10.1287/ijoc.9.2.206openalex-snapshot
An Implementation of the Lattice and Spectral Tests for Multiple Recursive Linear Random Number Generators
inferredcites →https://doi.org/10.1287/mnsc.46.9.1171.12239openalex-snapshot
Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
inferredcites →https://doi.org/10.1287/mnsc.46.9.1214.12231openalex-snapshot
Variance Reduction via Lattice Rules
inferredcites →https://doi.org/10.1287/opre.44.2.327openalex-snapshot
Integrated Variance Reduction Strategies for Simulation
inferredcites →https://doi.org/10.1287/opre.48.6.939.12393openalex-snapshot
Global Stochastic Optimization with Low-Dispersion Point Sets
inferredcites →https://doi.org/10.1515/mcma.1996.2.4.255openalex-snapshot
A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
inferredcites →https://doi.org/10.1515/mcma.1996.2.4.295openalex-snapshot
On the use of low discrepancy sequences in Monte Carlo methods
inferredcites →https://doi.org/10.21136/cmj.1992.128322openalex-snapshot
Low-discrepancy point sets obtained by digital constructions over finite fields
inferredcites →https://doi.org/10.21314/jcf.1997.005openalex-snapshot
Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
inferredcites →https://doi.org/10.2140/pjm.1999.189.75openalex-snapshot
Base change problems for generalized Walsh series and multivariate numerical integration
inferredcites →https://doi.org/10.2307/1271432openalex-snapshot
A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
inferredcites →https://doi.org/10.2307/2005635openalex-snapshot
Approximate Calculation of Multiple Integrals
inferredcites →https://doi.org/10.2307/2008698openalex-snapshot
Multiplicative Congruential Random Number Generators with Modulus 2 β : An Exhaustive Analysis for β = 32 and a Partial Analysis for β = 48
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Random Number Generation and Quasi-Monte Carlo Methods.
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The Art of Computer Programming. Volume 2: Seminumerical Algorithms.
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Sphere Packings, Lattices and Groups.
inferredcites →https://doi.org/10.3905/jpm.1995.409541openalex-snapshot
Faster Valuation of Financial Derivatives
inferredcites →https://doi.org/10.4064/aa-41-4-337-351openalex-snapshot
Discrépance de suites associées à un système de numération (en dimension s)
inferredcites →https://doi.org/10.4064/aa-61-4-337-345openalex-snapshot
Mean value results for the approximate functional equation of the square of the Riemann zeta-function
inferredcites →https://doi.org/10.4064/aa97-2-5openalex-snapshot
Duality for digital nets and its applications
inferredcites →https://doi.org/10.48550/arxiv.1301.3841openalex-snapshot
Computational Investigation of Low-Discrepancy Sequences in Simulation Algorithms for Bayesian Networks
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A new class of linear feedback shift register generators
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L'utilisation de règles de réseau en simulation comme technique de réduction de la variance
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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An Analysis of Sobol Sequence and the Brownian Bridge
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Random Number Generation and Quasi‐ M onte C arlo
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Pseudorandom Number Generators
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Quasi‐ M onte C arlo Methods
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Quasirandom Number Generation
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Random Number Generation and Quasi‐ M onte C arlo
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Random Number Generation and Quasi‐ M onte C arlo
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Randomized Quasi‐Monte Carlo
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Construction and Comparison of High-Dimensional Sobol' Generators
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Randomized Quasi-Monte Carlo Simulation of Markov Chains with an Ordered State Space
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Infinite-Dimensional Highly-Uniform Point Sets Defined via Linear Recurrences in $$\mathbb{F}_{2^w } $$
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Random Number Generation
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The EM Algorithm, Its Randomized Implementation and Global Optimization: Some Challenges and Opportunities for Operations Research
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Monte Carlo and Quasi-Monte Carlo Sampling
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Multidimensional Sensitivity Analysis of Large-Scale Mathematical Models
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Stochastic Constraints and Variance Reduction Techniques
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Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization
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A Tool for Custom Construction of QMC and RQMC Point Sets
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Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs
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Special Lattice and Digital Sequences for Multidimensional Air Pollution Modelling
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Quasi-Monte Carlo Algorithms (Not Only) for Graphics Software
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Novel Stochastic Sequences for Multidimensional Air Pollution Modelling
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Sensitivity Analysis of a Large-Scale Air Pollution Model by Highly Efficient Quasi-Sequences
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Eigenvalue Estimation in Portfolio Risk: The Role of Skipping and Leaping in Sobol and Halton Sequences
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The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets
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Efficient Initialization of Particle Swarm Optimization Using Low Discrepancy Sequence
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Randomized Quasi-Monte Carlo: An Introduction for Practitioners
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A Belgian View on Lattice Rules
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A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections
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Efficient Simultaneous Simulation of Markov Chains
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Robust Optimizers for Nonlinear Programming in Approximate Dynamic Programming
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Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
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When Does Quasi-random Work?
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Low-Discrepancy Simulation
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Monte Carlo Method for Numerical Integration Based on Sobol’s Sequences
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The b-adic Diaphony as a Tool to Study Pseudo-randomness of Nets
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Polynomial Integration Lattices
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A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
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On Figures of Merit for Randomly-Shifted Lattice Rules
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A Rigorous Runtime Analysis for Quasi-Random Restarts and Decreasing Stepsize
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The median trick does not help for fully nested scrambling
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QMC Rules of Arbitrary High Order: Reproducing Kernel Hilbert Space Approach
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Quasi-Monte Carlo methods with applications in finance
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Variance reduction in sample approximations of stochastic programs
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Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
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Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
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Scrambled Geometric Net Integration Over General Product Spaces
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Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
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Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing
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An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering
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Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks
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Quasi-Monte Carlo for Highly Structured Generalised Response Models
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Isovolumetric adaptations to space-filling design of experiments
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Efficient simulated maximum likelihood with an application to online retailing
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Acceleration of the Multiple-Try Metropolis algorithm using antithetic and stratified sampling
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Asymptotic normality of extensible grid sampling
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Data-driven stochastic inversion via functional quantization
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Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
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Sampling strategies and stopping criteria for stochastic dual dynamic programming: a case study in long-term hydrothermal scheduling
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Long-Term Generation Scheduling: A Tutorial on the Practical Aspects of the Problem Solution
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Batch sequential adaptive designs for global optimization
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Expectation constrained stochastic nonlinear model predictive control of a batch bioreactor
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Random Number Generation
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Distance-based optimal sampling in a hypercube: Energy potentials for high-dimensional and low-saturation designs
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Discrepancy behaviour in the non-asymptotic regime
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An algorithm to compute the t -value of a digital net and of its projections
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Advanced algorithms for multidimensional sensitivity studies of large-scale air pollution models based on Sobol sequences
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Error trends in Quasi-Monte Carlo integration
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Quasi-Monte Carlo methods for lattice systems: A first look
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Error propagation in first-principles kinetic Monte Carlo simulation
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Quasi-Monte Carlo sampling to improve the efficiency of Monte Carlo EM
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Quasi-Monte-Carlo-based probabilistic assessment of wall heat loss
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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
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Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
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Constructions of (t,m,s) -nets and (t,s) -sequences
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Constructions of general polynomial lattice rules based on the weighted star discrepancy
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The effects of database parameter uncertainty on uranium(VI) equilibrium calculations
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A Quasi-Monte Carlo method to compute scattering effects in radiative heat transfer: Application to a sooted jet flame
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Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
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Generalized von Neumann–Kakutani transformation and random-start scrambled Halton sequences
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On negative dependence properties of Latin hypercube samples and scrambled nets
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Randomized quasi-Monte Carlo and importance sampling for super-fast growing functions with applications to finance
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Randomized quasi-Monte Carlo methods in pricing securities
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Assessment of randomized Quasi-Monte Carlo method efficiency in radiative heat transfer simulations
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Some large-sample results on a modified Monte Carlo integration method
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Coupling from the past with randomized quasi-Monte Carlo
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Computational investigations of scrambled Faure sequences
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An analog circuit synthesis tool based on efficient and reliable yield estimation
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The influence of damage breach sampling process on the direct assessment of ship survivability
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Quasi-Monte Carlo based uncertainty analysis: Sampling efficiency and error estimation in engineering applications
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Comparing methods of randomizing Sobol′ sequences for improving uncertainty of metrics in variance-based global sensitivity estimation
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Monte Carlo sampling-based methods for stochastic optimization
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A framework for enhancing simulation reliability in hard-sphere packing: Surrogate model comparison, multi-objective optimization, and multi-criteria decision making for robust parameter identification
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Application of an adaptive Monte Carlo algorithm to mixed logit estimation
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Methods for enhancing numerical integration
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Some current issues in quasi-Monte Carlo methods
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Chapter 3 Uniform Random Number Generation
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Chapter 12 Quasi-Random Number Techniques
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Constructions of general polynomial lattices for multivariate integration
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Copula Modeling and Uncertainty Propagation in Field‐Scale Simulation of CO 2 Fault Leakage
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Joint sensor localisation and target tracking in sensor networks
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Improving the accuracy of estimators for the two-point correlation function
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Turnpike properties of optimal boundary control problems with random linear hyperbolic systems
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Innovative Approaches to Stochastic Dual Dynamic Programming: Two-Period Decomposition and Parallelization in a Hydrothermal Scheduling Case Study
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Local-metrics error-based Shepard interpolation as surrogate for highly non-linear material models in high dimensions
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Pseudo-random properties of a linear congruential generator investigated by b-adic diaphony
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Sensitivity analysis of the Unified Danish Eulerian Model with respect to emission levels and chemical reaction rates
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Advanced stochastic methods for estimating sensitivity indices
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Quasi-Monte Carlo simulation of the light environment of plants
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A quasi-Monte Carlo Metropolis algorithm
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Modification of the Maximin and ϕ p (Phi) Criteria to Achieve Statistically Uniform Distribution of Sampling Points
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Grouped Latin Hypercube Designs with Controlled Correlations
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Randomized quasi-random sampling/importance resampling
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Quasi-Monte Carlo-based conditional pathwise method for option Greeks
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Higher-order weak approximation for rough volatility models via Markovian approximation: drift-splitting time discretization and its extrapolation
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The Comparison of Estimation Methods for the Four-Parameter Logistic Item Response Theory Model
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Inferring 3D ellipsoids based on cross-sectional images with applications to porosity control of additive manufacturing
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A first look at quasi-Monte Carlo for lattice field theory problems
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Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
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The construction of extensible polynomial lattice rules with small weighted star discrepancy
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Quasi Random Deployment and Localization in Layered Framework for the Internet of Things
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Computable error bounds for quasi-Monte Carlo using points with non-negative local discrepancy
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Empirical Bernstein and betting confidence intervals for randomized quasi-Monte Carlo
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Randomized quasi-Monte Carlo and Owen’s boundary growth condition: a spectral analysis
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Low discrepancy sequences for Monte Carlo simulations on reconfigurable platforms
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A Novel Track-before-Detect Algorithm for Small Dim Infrared Target
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Modeling and simulation of forest fire detection and fire spread
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A new quasi-Monte Carlo filtering algorithm based on number theoretical method
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Ballistic target tracking based on quasi-Monte Carlo filtering
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Centroidal Voronoi Tessellations- A New Approach to Random Testing
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Quasi-Monte Carlo filtering in nonlinear dynamic systems
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Proceedings of Winter Simulation Conference
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Simulation in financial engineering
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Proceedings of the 2002 Winter Simulation Conference
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Simulation in financial engineering
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SSJ: a framework for stochastic simulation in Java
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Quasi-Monte Carlo methods for simulation
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Efficient simulations for option pricing
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Efficient simulation of gamma and variance-gamma processes
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Randomized Quasi-Monte Carlo: A Tool for Improving the Efficiency of Simulations in Finance
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Quasi-Monte Carlo Methods in Finance
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Fast Random Number Generators Based on Linear Recurrences Modulo 2: Overview and Comparison
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A Study of Variance Reduction Techniques for American Option Pricing
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Quas-Monte Carlo Strategies for Stochastic Optimization
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Approximate zero-variance simulation
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Simulation of a Lévy process by PCA sampling to reduce the effective dimension
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Fast simulation of equity-linked life insurance contracts with a surrender option
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On the error distribution for randomly-shifted lattice rules
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Quantile Estimation Via a Combination of Conditional Monte Carlo and Randomized Quasi-Monte Carlo
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Confidence Intervals for Randomized Quasi-Monte Carlo Estimators
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Pre-Scrambled Digital Nets for Randomized Quasi-Monte Carlo
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Using Adaptive Basis Search Method in Quasi-Regression to Interpret Black-Box Models
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Optimal Sample Weights for Hemispherical Integral Quadratures
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Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights
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On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
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Gain Coefficients for Scrambled Halton Points
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A Quasi-Monte Carlo Based Gaussian Particle Filter
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PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
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Valuing American options by least-squares randomized quasi-Monte Carlo methods
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Rare events, splitting, and quasi-Monte Carlo
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Why one must use reweighting in estimation of distribution algorithms
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Generalized Halton sequences in 2008
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Simple tools for multimodal optimization
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Evolutionary optimization of low-discrepancy sequences
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Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
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QR Mutations Improve Many Evolution Strategies
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Sufficient Conditions for Central Limit Theorems and Confidence Intervals for Randomized Quasi-Monte Carlo Methods
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Variance with alternative scramblings of digital nets
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Evaluation of Optimization Methods for Estimating Mixed Logit Models
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On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
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Control Variates for Quasi-Monte Carlo
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On the distribution of integration error by randomly-shifted lattice rules
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Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
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On Convergence Properties of the Monte Carlo EM Algorithm
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Asymptotic normality of scrambled geometric net quadrature
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Comment: Unreasonable Effectiveness of Monte Carlo
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Ensemble MCMC: Accelerating Pseudo-Marginal MCMC for State Space Models using the Ensemble Kalman Filter
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Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
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Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
inferred← citeshttps://doi.org/10.1287/mnsc.1120.1568openalex-snapshot
Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction
inferred← citeshttps://doi.org/10.1287/mnsc.49.2.230.12743openalex-snapshot
Probabilistic Error Bounds for Simulation Quantile Estimators
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Combination of General Antithetic Transformations and Control Variables
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A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
inferred← citeshttps://doi.org/10.1287/opre.1100.0853openalex-snapshot
Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
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QMC techniques for CAT bond pricing *
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Clustering of sample average approximation for stochastic program
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Quasi-Monte Carlo for finance beyond Black--Scholes
inferred← citeshttps://doi.org/10.3390/a18050252openalex-snapshot
Cutting-Edge Stochastic Approach: Efficient Monte Carlo Algorithms with Applications to Sensitivity Analysis
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