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| HAL: hal-00448696, version 1 |
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| Journal of Computational and Applied Mathematics 31 (1990) 23-34 |
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| On Effective Computation of Expectations in Large or Infinite Dimension |
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| Nicolas Bouleau 1 |
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| (1990) |
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| This study is an analysis of the natural difficulties of integration by Monte Carlo or quasi-Monte Carlo methods. In spite of what is sometimes written, these methods work only in some precise cases. For the important problem of the computation of expectations of functionals of stochastic processes, we present the advantages of a method based on the implementation of the Bernoulli shift operator by pointers. |
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| 1: | Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique (CERMICS) |
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INRIA – Ecole des Ponts ParisTech |
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| Subject | : | Mathematics/Probability Mathematics/Numerical Analysis |
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| Monte Carlo – quasi-Monte Carlo – Riemann integrable – discrepancy – effectivity – infinite dimension – Bernoulli shift – pointer |
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| hal-00448696, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00448696 | |
| oai:hal.archives-ouvertes.fr:hal-00448696 | |
| From: Nicolas Bouleau | |
| Submitted on: Tuesday, 19 January 2010 17:41:55 | |
| Updated on: Tuesday, 19 January 2010 20:48:44 | |
