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Introduction to Quasi-Monte Carlo Integration and Applications

This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory....

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Bibliographic Details
Main Authors: Leobacher, Gunther, Pillichshammer, Friedrich (Author)
Format: eBook
Language:English
Published: Cham Birkhäuser 2014, 2014
Edition:1st ed. 2014
Series:Compact Textbooks in Mathematics
Subjects:
Number Theory
Mathematics In Business, Economics And Finance
Numerical Analysis
Social Sciences / Mathematics
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Preface
  • Notation
  • 1 Introduction
  • 2 Uniform Distribution Modulo One
  • 3 QMC Integration in Reproducing Kernel Hilbert Spaces
  • 4 Lattice Point Sets
  • 5 (t, m, s)-nets and (t, s)-Sequences
  • 6 A Short Discussion of the Discrepancy Bounds
  • 7 Foundations of Financial Mathematics
  • 8 Monte Carlo and Quasi-Monte Carlo Simulation
  • Bibliography
  • Index

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