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Number sequences for simulation - lecture 1
Virtualconference
Authors : ... (Author of the conference)
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65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
Additional resources :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/okten_lectures_1-2_cirm.pdf
... (Publisher )
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Abstract :
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.
MSC Codes : 65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
Additional resources :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/okten_lectures_1-2_cirm.pdf
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Information on the Video
Language : EnglishAvailable date : 02/11/2020 Conference Date : 02/11/2020 Subseries : Research School arXiv category : Quantitative Finance ; Numerical Analysis Mathematical Area(s) : Numerical Analysis & Scientific Computing ; Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:43:46 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-10-26_Okten 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.19664003Cite this video as: (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 |
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Bibliography
- 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
