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Monte Carlo and Quasi-Monte Carlo Methods

MCQMC, Leuven, Belgium, April 2014

  • Conference proceedings
  • © 2016

Overview

Editors:
  1. Ronald Cools

    1. Department of Computer Science, KU Leuven, Heverlee, Belgium

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  2. Dirk Nuyens

    1. Department of Computer Science, KU Leuven, Heverlee, Belgium

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  • Provides information on current trends in the area of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods
  • Presents invited survey papers that summarize the state-of-the-art of the corresponding field
  • Benefits practitioners by including concrete applications in statistics, finance, computer graphics, and other computational areas
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 163)

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About this book

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. 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. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.

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Table of contents (33 papers)

  1. Front Matter

    Pages i-xviii
    Download chapter PDF

  2. Invited Papers

    1. Front Matter

      Pages 1-1
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    2. Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes

      • Steffen Dereich, Sangmeng Li
      Pages 3-27

    3. Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo

      • Håkon Hoel, Juho Häppölä, Raúl Tempone
      Pages 29-86

    4. Vandermonde Nets and Vandermonde Sequences

      • Roswitha Hofer, Harald Niederreiter
      Pages 87-105

    5. Path Space Markov Chain Monte Carlo Methods in Computer Graphics

      • Wenzel Jakob
      Pages 107-141

    6. Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC

      • Makoto Matsumoto, Ryuichi Ohori
      Pages 143-160

    7. Some Results on the Complexity of Numerical Integration

      • Erich Novak
      Pages 161-183

    8. Approximate Bayesian Computation: A Survey on Recent Results

      • Christian P. Robert
      Pages 185-205

  3. Contributed Papers

    1. Front Matter

      Pages 207-207
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    2. Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations

      • Andrea Barth, Christoph Schwab, Jonas Šukys
      Pages 209-227

    3. Unbiased Simulation of Distributions with Explicitly Known Integral Transforms

      • Denis Belomestny, Nan Chen, Yiwei Wang
      Pages 229-244

    4. Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting

      • Charles-Edouard Bréhier, Ludovic Goudenège, Loïc Tudela
      Pages 245-260

    5. Comparison Between LS-Sequences and \(\beta \)-Adic van der Corput Sequences

      • Ingrid Carbone
      Pages 261-270

    6. Computational Higher Order Quasi-Monte Carlo Integration

      • Robert N. Gantner, Christoph Schwab
      Pages 271-288

    7. Numerical Computation of Multivariate Normal Probabilities Using Bivariate Conditioning

      • Alan Genz, Giang Trinh
      Pages 289-302

    8. Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations

      • Michael B. Giles, Christopher Lester, James Whittle
      Pages 303-314

    9. On ANOVA Decompositions of Kernels and Gaussian Random Field Paths

      • David Ginsbourger, Olivier Roustant, Dominic Schuhmacher, Nicolas Durrande, Nicolas Lenz
      Pages 315-330

    10. The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets

      • Takashi Goda, Ryuichi Ohori, Kosuke Suzuki, Takehito Yoshiki
      Pages 331-350

    11. Uncertainty and Robustness in Weather Derivative Models

      • Ahmet Göncü, Yaning Liu, Giray Ökten, M. Yousuff Hussaini
      Pages 351-365
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Editors and Affiliations

  • Department of Computer Science, KU Leuven, Heverlee, Belgium

    Ronald Cools, Dirk Nuyens

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