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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 - Harald Niederreiter

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

By: Harald Niederreiter (Editor)

Paperback

Published: 23rd January 2004
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This volume contains the refereed proceedings of the Fifth International Con­ ference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Com­ puting (MCQMC 2002) which was held at the National University of Sin­ gapore from 25-28 November 2002. The programme of this conference was arranged by a committee consisting of Kai-Tai Fang (Hong Kong Baptist University), Paul Glasserman (Columbia University), Stefan Heinrich (Uni­ versitat Kaiserslautern), Fred J. Hickernell (Hong Kong Baptist University), Pierre L'Ecuyer (Universite de Montreal), Harald Niederreiter (National Uni­ versity of Singapore, chair), Erich Novak (Universitat Jena), Art B. Owen (Stanford University), Ian H. Sloan (University of New South Wales), Jerome Spanier (Claremont Graduate University), Denis Talay (INRIA Sophia An­ tipolis), Simon Tavare (University of Southern California), Jian-Sheng Wang (National University of Singapore) and Henryk Wozniakowski (Columbia Uni­ versity and University of Warsaw). MCQMC 2002 continued the tradition of biennial MCQMC conferences which was begun at the University of Nevada in Las Vegas, Nevada, USA, in June 1994 and followed by conferences at the University of Salzburg, Austria, in July 1996, the Claremont Colleges in Claremont, California, USA, in June 1998 and Hong Kong Baptist University in Hong Kong, China, in November 2000. The proceedings of these previous conferences were all published by Springer-Verlag, under the titles Monte Carlo and Quasi-Monte Carlo Meth­ ods in Scientific Computing (H. Niederreiter and P. J. -S. Shiue, eds. ), Monte Carlo and Quasi-Monte Carlo Methods 1996 (H. Niederreiter, P.

Preface
Conference Participants
Finance: A Fertile Field for Applications of MC and QMCp. 1
How Many Random Bits Do We Need for Monte Carlo Integration?p. 27
On Tractability of Weighted Integration for Certain Banach Spaces of Functionsp. 51
Polynomial Integration Latticesp. 73
Approximate Bayesian Computation and MCMCp. 99
New Challenges for the Simulation of Stochastic Processesp. 115
Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equationsp. 129
Digital Nets, Duality, and Algebraic Curvesp. 155
Generalized Mersenne Prime Number and Its Application to Random Number Generationp. 167
Constructing Good Lattice Rules with Millions of Pointsp. 181
Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Periodp. 199
Simulation for American Options: Regression Now or Regression Later?p. 213
Perturbation Monte Carlo Methods for the Solution of Inverse Problemsp. 227
Quantum Boolean Summation with Repetitions in the Worst-Average Settingp. 243
The Strong Tractability of Multivariate Integration Using Lattice Rulep. 259
Minimizing Effective Dimension Using Linear Transformationp. 275
Component by Component Construction of Rank-1 Lattice Rules Having O(n[superscript -1](In(n))[superscript d]) Star Discrepancyp. 293
Stratification by Rank-1 Latticesp. 299
Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequencesp. 315
Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chainsp. 329
Quasi-Monte Carlo Methods for Elliptic BVPsp. 345
Stable Connectivity of Networks and Its Monte Carlo Estimationp. 357
Random Number Generators Based on Linear Recurrences in F[subscript 2[superscript w]]p. 367
Using Quasi-Monte Carlo Scenarios in Risk Managementp. 379
Adaptive Quasi-Monte Carlo Integration Based on MISER and VEGASp. 393
When Does Monte Carlo Depend Polynomially on the Number of Variables?p. 407
A New Adaptive Method for Geometric Convergencep. 439
Polynomial Arithmetic Analogue of Hickernell Sequencesp. 451
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540204664
ISBN-10: 3540204660
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 460
Published: 23rd January 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.5 x 15.5  x 2.46
Weight (kg): 1.49