Monte Carlo and Quasi-Monte Carlo Methods 2002: Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25-28, 2002 / Edition 1

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This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.

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Product Details

  • ISBN-13: 9783540204664
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 3/5/2004
  • Edition description: Softcover reprint of the original 1st ed. 2004
  • Edition number: 1
  • Pages: 460
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.97 (d)

Table of Contents

Conference Participants
Finance: A Fertile Field for Applications of MC and QMC 1
How Many Random Bits Do We Need for Monte Carlo Integration? 27
On Tractability of Weighted Integration for Certain Banach Spaces of Functions 51
Polynomial Integration Lattices 73
Approximate Bayesian Computation and MCMC 99
New Challenges for the Simulation of Stochastic Processes 115
Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equations 129
Digital Nets, Duality, and Algebraic Curves 155
Generalized Mersenne Prime Number and Its Application to Random Number Generation 167
Constructing Good Lattice Rules with Millions of Points 181
Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Period 199
Simulation for American Options: Regression Now or Regression Later? 213
Perturbation Monte Carlo Methods for the Solution of Inverse Problems 227
Quantum Boolean Summation with Repetitions in the Worst-Average Setting 243
The Strong Tractability of Multivariate Integration Using Lattice Rule 259
Minimizing Effective Dimension Using Linear Transformation 275
Component by Component Construction of Rank-1 Lattice Rules Having O(n[superscript -1](In(n))[superscript d]) Star Discrepancy 293
Stratification by Rank-1 Lattices 299
Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequences 315
Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chains 329
Quasi-Monte Carlo Methods for Elliptic BVPs 345
Stable Connectivity of Networks and Its Monte Carlo Estimation 357
Random Number Generators Based on Linear Recurrences in F[subscript 2[superscript w]] 367
Using Quasi-Monte Carlo Scenarios in Risk Management 379
Adaptive Quasi-Monte Carlo Integration Based on MISER and VEGAS 393
When Does Monte Carlo Depend Polynomially on the Number of Variables? 407
A New Adaptive Method for Geometric Convergence 439
Polynomial Arithmetic Analogue of Hickernell Sequences 451
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