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

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Number sequences for simulation - lecture 2

By Giray Ökten

After an overview of some approaches to define random sequences, we will discuss pseudorandom sequences and low-discrepancy sequences. Applications to numerical integration, Koksma-Hlawka inequality, and Niederreiter’s uniform point sets will be discussed. We will then present randomized quasi-Monte Carlo sequences.

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.19680103
Cite this video Ökten, Giray (02/11/2020). Number sequences for simulation - lecture 2. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19680103
URL https://dx.doi.org/10.24350/CIRM.V.19680103

Domain(s)

Bibliography

NIEDERREITER, Harald. Random number generation and quasi-Monte Carlo methods. Society for Industrial and Applied Mathematics, 1992. - https://doi.org/10.1137/1.9781611970081
NIEDERREITER, Harald. Error bounds for quasi-Monte Carlo integration with uniform point sets. Journal of computational and applied mathematics, 2003, vol. 150, no 2, p. 283-292. - https://doi.org/10.1016/S0377-0427(02)00665-9
ÖKTEN, Giray et EASTMAN, Warren. Randomized quasi-Monte Carlo methods in pricing securities. Journal of Economic Dynamics and Control, 2004, vol. 28, no 12, p. 2399-2426. - https://doi.org/10.1016/j.jedc.2003.11.003

MSC codes

Document(s)

https://www.cirm-math.com/uploads/2/6/6/0/26605521/okten_lectures_1-2_cirm.pdf

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