Sufficient conditions for fast quasi-Monte Carlo convergence
نویسندگان
چکیده
منابع مشابه
Sufficient conditions for fast quasi-Monte Carlo convergence
We study the approximation of d-dimensional integrals. We present sufficient conditions for fast quasi-Monte Carlo convergence. They apply to isotropic and non-isotropic problems and, in particular, to a number of problems in computational finance. We show that the convergence rate of quasi-Monte Carlo is of order n−1+p{logn} −1/2 with p ≥ 0. This is a worst case result. Compared to the expecte...
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ژورنال
عنوان ژورنال: Journal of Complexity
سال: 2003
ISSN: 0885-064X
DOI: 10.1016/s0885-064x(02)00004-3