A Stochastic Algorithm for High Dimensional Integrals over Unbounded Regions with Gaussian Weight
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چکیده
Details are given for a Fortran implementation of an algorithm that uses stochastic spherical-radial rules for the numerical computation of multiple integrals over unbounded regions with Gaussian weight. The implemented rules are suitable for high dimensional problems. A high dimensional example from a computational nance application is used to illustrate the use of the rules.
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تاریخ انتشار 1997