Sufficient conditions for fast quasi-Monte Carlo convergence
نویسنده
چکیده
We study the approximation of d-dimensional integrals. We present sufficient conditions for fast quasi-Monte Carlo convergence. They apply to isotropic and non-isotropic problems and, in particular, to a number of problems in computational finance. We show that the convergence rate of quasi-Monte Carlo is of order n−1+p{logn} −1/2 with p ≥ 0. This is a worst case result. Compared to the expected rate n−1/2 of Monte Carlo it shows the superiority of quasi-Monte Carlo.
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ورودعنوان ژورنال:
- J. Complexity
دوره 19 شماره
صفحات -
تاریخ انتشار 2003