On effective computation of expectations in large or infinite dimension
نویسنده
چکیده
This study is an analysis of the natural difficulties of integration by Monte Carlo or quasi-Monte Carlo methods. In spite of what is sometimes written, these methods work only in some precise cases. For the important problem of the computation of expectations of functionals of stochastic processes, we present the advantages of a method based on the implementation of the Bernoulli shift operator by pointers.
منابع مشابه
On numerical integration by the shift and application to Wiener space
Since the advantages of quasi-Monte Carlo methods vanish when the dimension of the basic space increases, the question arises whether there are better methods than classical Monte Carlo in large or infinite dimensional basic spaces. We study here the use of the shift operator with the pointwise ergodic theorem whose implementation is particularly interesting. After recalling the theoretical res...
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