English
Number sequences for simulation - lecture 1
Virtualconference
Auteurs : Ökten, Giray (Auteur de la Conférence)
CIRM (Editeur )
65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
Ressources complémentaires :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/okten_lectures_1-2_cirm.pdf
CIRM (Editeur )
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Résumé :
After an overview of some approaches to define random sequences, we will discuss pseudorandom sequences and low-discrepancy sequences. Applications to numerical integration, Koksma-Hlawka inequality, and Niederreiter's uniform point sets will be discussed. We will then present randomized quasi-Monte Carlo sequences.
Codes MSC : 65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
Ressources complémentaires :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/okten_lectures_1-2_cirm.pdf
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 02/11/2020 Date de captation : 02/11/2020 Sous collection : Research School arXiv category : Quantitative Finance ; Numerical Analysis Domaine : Numerical Analysis & Scientific Computing ; Probability & Statistics Format : MP4 (.mp4) - HD Durée : 00:43:46 Audience : Researchers Download : https://videos.cirm-math.fr/2020-10-26_Okten 1.mp4 
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Informations sur la Rencontre
Nom de la rencontre : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applicationsOrganisateurs de la rencontre : Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert Dates : 02/11/2020 - 07/11/2020 Année de la rencontre : 2020 URL Congrès : https://www.chairejeanmorlet.com/2255.html
Données de citation
DOI : 10.24350/CIRM.V.19664003Citer cette vidéo: Ökten, Giray (2020). Number sequences for simulation - lecture 1. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19664003 URI : http://dx.doi.org/10.24350/CIRM.V.19664003 |
Voir aussi
- [Virtualconference] PDMPs in risk theory and QMC integration III / Auteur de la Conférence Thonhauser, Stefan.
- [Virtualconference] On the estimation of conditional quantiles - lecture 3 / Auteur de la Conférence Maume-Deschamps, Véronique.
- [Virtualconference] On the estimation of conditional quantiles - lecture 2 / Auteur de la Conférence Maume-Deschamps, Véronique.
- [Virtualconference] Stochastic differential equations / Auteur de la Conférence Leobacher, Gunther.
- [Virtualconference] Number sequences for simulation - lecture 2 / Auteur de la Conférence Ökten, Giray.
- [Virtualconference] PDMPs and Integrals PDMPs in risk theory and QMC integration II / Auteur de la Conférence Thonhauser, Stefan.
- [Virtualconference] Derivative pricing, simulation from non-uniform distributions - lecture 3 / Auteur de la Conférence Ökten, Giray.
- [Multi angle] Quasi-Monte Carlo methods and applications: introduction / Auteur de la Conférence Tichy, Robert.
- [Virtualconference] Risk theory: models and objectives PDMPs in risk theory and QMC integration I / Auteur de la Conférence Thonhauser, Stefan.
- [Virtualconference] The coordinate sampler: a non-reversible Gibbs-like MCMC sampler / Auteur de la Conférence Robert, Christian P.
- [Virtualconference] On the estimation of conditional quantiles - lecture 1 / Auteur de la Conférence Maume-Deschamps, Véronique.
- [Virtualconference] Brief introduction of Quasi-Monte Carlo Methods and their Applications / Auteur de la Conférence Leobacher, Gunther.
- [Virtualconference] Two concrete FinTech applications of QMC / Auteur de la Conférence Larcher, Gerhard.
- [Virtualconference] Optimizing dividends and limited capital injections via exponential approximations I / Auteur de la Conférence Avram, Florin.
Bibliographie
- NIEDERREITER, Harald. Random number generation and quasi-Monte Carlo methods. Society for Industrial and Applied Mathematics, 1992. - https://doi.org/10.1137/1.9781611970081
- NIEDERREITER, Harald. Error bounds for quasi-Monte Carlo integration with uniform point sets. Journal of computational and applied mathematics, 2003, vol. 150, no 2, p. 283-292. - https://doi.org/10.1016/S0377-0427(02)00665-9
- ÖKTEN, Giray et EASTMAN, Warren. Randomized quasi-Monte Carlo methods in pricing securities. Journal of Economic Dynamics and Control, 2004, vol. 28, no 12, p. 2399-2426. - https://doi.org/10.1016/j.jedc.2003.11.003
