Brief introduction of Quasi-Monte Carlo Methods and their Applications | Vidéo | Carmin.tv

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Brief introduction of Quasi-Monte Carlo Methods and their Applications

De Gunther Leobacher

Apparaît dans la 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

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.

Informations sur la vidéo

Date de captation 02/11/2020
Date de publication 02/11/2020
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19664303
Citer cette vidéo 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

Domaine(s)

Bibliographie

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 -

Codes MSC

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