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Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems

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  • Schmid, Wolfgang Ch.
  • Uhl, Andreas

Abstract

Currently, in the context of quasi-Monte Carlo applications the most effective low-discrepancy sequences are digital (t, s)-sequences.

Suggested Citation

  • Schmid, Wolfgang Ch. & Uhl, Andreas, 2001. "Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 55(1), pages 249-257.
    • Handle: RePEc:eee:matcom:v:55:y:2001:i:1:p:249-257
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    References listed on IDEAS

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    1. Radović Igor & Sobol’ Ilya M. & Tichy Robert F., 1996. "Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences," Monte Carlo Methods and Applications, De Gruyter, vol. 2(1), pages 1-14, December.
    2. Entacher K. & Uhl A. & Wegenkittl S., 1998. "Linear Congruential Generators for Parallel Monte Carlo: the Leap-Frog Case," Monte Carlo Methods and Applications, De Gruyter, vol. 4(1), pages 1-16, December.
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    Cited by:

    1. Linlin Xu & Giray Ökten, 2015. "High-performance financial simulation using randomized quasi-Monte Carlo methods," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1425-1436, August.

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