Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Collection Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Organizer(s) Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert

Date(s) 02/11/2020 - 07/11/2020

linked URL https://www.chairejeanmorlet.com/2255.html

00:00:00 / 00:00:00

8 15

Brief introduction of Quasi-Monte Carlo Methods and their Applications

By Gunther Leobacher

In the first part, we briefly recall the theory of stochastic differential equations (SDEs) and present Maruyama's classical theorem on strong convergence of the Euler-Maruyama method, for which both drift and diffusion coefficient of the SDE need to be Lipschitz continuous.

Information about the video

Date of recording 02/11/2020
Date of publication 02/11/2020
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19664303
Cite this video Leobacher, Gunther (02/11/2020). Brief introduction of Quasi-Monte Carlo Methods and their Applications. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19664303
URL https://dx.doi.org/10.24350/CIRM.V.19664303

Domain(s)

Bibliography

Drmota, M.; Tichy, R.F.: Sequences, discrepancies and applications. Lecture Notes in Mathematics, 1651. Springer-Verlag, Berlin, 1997. - http://dx.doi.org/10.1007/BFb0093404
Kuipers, L.; Niederreiter, H.: Uniform distribution of sequences. Pure and Applied Mathematics. Wiley-Interscience, 1974.
Leobacher, G.; Pillichshammer, F.: Introduction to quasi-Monte Carlo integration and applications. Compact Textbooks in Mathematics. Birkhäuser, Cham, 2014. - http://dx.doi.org/10.1007/978-3-319-03425-6
Leobacher, Gunther; Szölgyenyi, Michaela A strong order 1/2 method for multidimensional SDEs with discontinuous drift.The Annals of Applied Probability, 2017, vol. 27, no 4, p. 2383-2418. - http://dx.doi.org/10.1214/16-AAP1262
Mao, X.: Stochastic differential equations and their applications. Series in Mathematics & Applications. Horwood Publishing Limited, Chichester, 1997 -

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