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Brief introduction of Quasi-Monte Carlo Methods and their Applications
Virtualconference
Authors : ... (Author of the conference)
... (Publisher )
60H10 - Stochastic ordinary differential equations
65C05 - Monte Carlo methods
91G60 - Numerical methods in mathematical finance
... (Publisher )
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Abstract :
In the first part, we briefly recall the theory of stochastic differential equations (SDEs) and present Maruyama's classical theorem on strong convergence of the Euler-Maruyama method, for which both drift and diffusion coefficient of the SDE need to be Lipschitz continuous.
Keywords : Quasi-Monte Carlo; stochastic differential equations; irregular coefficients
MSC Codes : Keywords : Quasi-Monte Carlo; stochastic differential equations; irregular coefficients
60H10 - Stochastic ordinary differential equations
65C05 - Monte Carlo methods
91G60 - Numerical methods in mathematical finance
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Information on the Video
Language : EnglishAvailable date : 02/11/2020 Conference Date : 02/11/2020 Subseries : Research School arXiv category : Numerical Analysis ; Quantitative Finance Mathematical Area(s) : Numerical Analysis & Scientific Computing ; Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:49:45 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-10-29_Leobacher_1.mp4 
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Information on the Event
Event Title : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applicationsDates : 02/11/2020 - 07/11/2020 Event Year : 2020 Event URL : https://www.chairejeanmorlet.com/2255.html
Citation Data
DOI : 10.24350/CIRM.V.19664303Cite this video as: (2020). Brief introduction of Quasi-Monte Carlo Methods and their Applications. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19664303 URI : http://dx.doi.org/10.24350/CIRM.V.19664303 |
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Bibliography
- Drmota, M.; Tichy, R.F.: Sequences, discrepancies and applications. Lecture Notes in Mathematics, 1651. Springer-Verlag, Berlin, 1997. - http://dx.doi.org/10.1007/BFb0093404
- Kuipers, L.; Niederreiter, H.: Uniform distribution of sequences. Pure and Applied Mathematics. Wiley-Interscience, 1974. -
- Leobacher, G.; Pillichshammer, F.: Introduction to quasi-Monte Carlo integration and applications. Compact Textbooks in Mathematics. Birkhäuser, Cham, 2014. - http://dx.doi.org/10.1007/978-3-319-03425-6
- Leobacher, Gunther; Szölgyenyi, Michaela A strong order 1/2 method for multidimensional SDEs with discontinuous drift.The Annals of Applied Probability, 2017, vol. 27, no 4, p. 2383-2418. - http://dx.doi.org/10.1214/16-AAP1262
- Mao, X.: Stochastic differential equations and their applications. Series in Mathematics & Applications. Horwood Publishing Limited, Chichester, 1997 -
