92 search results - page 4 / 19 » A Quasi-Monte Carlo Method for Integration with Improved Con... |
JC
2006
13 years 6 months ago
2006
We study the problem of multivariate integration on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
CCE
2004
13 years 5 months ago
2004
This work focuses on the basic stochastic decomposition (SD) algorithm of Higle and Sen [J.L. Higle, S. Sen, Stochastic Decomposition, Kluwer Academic Publishers, 1996] for two-st...
IOR
2006
13 years 6 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
WSC
2008
13 years 8 months ago
2008
We develop a model of golfer putting skill and combine it with physics-based putt trajectory and holeout models to study the impact of doubling the radius of the hole on the putti...
JC
2006
13 years 6 months ago
2006
We study the randomized approximation of weakly singular integral operators. For a suitable class of kernels having a standard type of singularity and being otherwise of finite sm...