Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
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- 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.
- 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:
- 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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Keywords
Quasi-Monte Carlo methods; Low-discrepancy sequences; Numerical integration; Parallel computation;All these keywords.
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