Monte Carlo and Quasi-Monte Carlo Methods 2004

ISBN-13: 9783540255413 / Angielski / Miękka / 2005 / 514 str.

Harald Niederreiter;Denis Talay

Opis

This volume represents the refereed proceedings of the Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scienti?c Computing which was held in conjunction with the Second International C- ference on Monte Carlo and Probabilistic Methods for Partial Di?erential Equations at Juan-les-Pins, France, from 7 10 June 2004. The programme of this conference was arranged by a committee consisting of Henri Faure (U- versit edeMarseille), PaulGlasserman(ColumbiaUniversity), StefanHeinrich (Universit] at Kaiserslautern), Fred J. Hickernell (Hong Kong Baptist Univ- sity), Damien Lamberton (Universit e de Marne la Vall ee), Bernard Lapeyre (ENPC-CERMICS), Pierre L Ecuyer (UniversitedeMontr eal), Pierre-Louis Lions (Coll ege de France), Harald Niederreiter (National University of S- gapore, co-chair), Erich Novak (Universit] at Jena), Art B. Owen (Stanford University), Gilles Pag es (Universit e Paris 6), Philip Protter (Cornell U- versity), Ian H. Sloan (University of New South Wales), Denis Talay (INRIA Sophia Antipolis, co-chair), Simon Tavar e (University of Southern California) and Henryk Wo zniakowski (Columbia University and University of Warsaw). The organization of the conference was arranged by a committee consisting of Mireille Bossy and Etienne Tanr e (INRIA Sophia Antipolis), and Madalina Deaconu(INRIALorraine). LocalarrangementswereinthehandsofMonique Simonetti and Marie Line Ramfos (INRIA Sophia Antipolis)."

Spis treści

Invariance Principles with Logarithmic Averaging for Ergodic Simulations.- Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains.- Weak Approximation of Stopped Dffusions.- Approximation of Stochastic Programming Problems.- The Asymptotic Distribution of Quadratic Discrepancies.- Weighted Star Discrepancy of Digital Nets in Prime Bases.- Explaining Effective Low-Dimensionality.- Selection Criteria for (Random) Generation of Digital (0,s)-Sequences.- Imaging of a Dissipative Layer in a Random Medium Using a Time Reversal Method.- A Stochastic Numerical Method for Diffusion Equations and Applications to Spatially Inhomogeneous Coagulation Processes.- Non-Uniform Low-Discrepancy Sequence Generation and Integration of Singular Integrands.- Construction of Good Rank-1 Lattice Rules Based on the Weighted Star Discrepancy.- Probabilistic Approximation via Spatial Derivation of Some Nonlinear Parabolic Evolution Equations.- Myths of Computer Graphics.- Illumination in the Presence of Weak Singularities.- Irradiance Filtering for Monte Carlo Ray Tracing.- On the Star Discrepancy of Digital Nets and Sequences in Three Dimensions.- Lattice Rules for Multivariate Approximation in the Worst Case Setting.- Randomized Quasi-Monte Carlo Simulation of Markov Chains with an Ordered State Space.- Experimental Designs Using Digital Nets with Small Numbers of Points.- Concentration Inequalities for Euler Schemes.- Fast Component-by-Component Construction, a Reprise for Different Kernels.- A Reversible Jump MCMC Sampler for Object Detection in Image Processing.- Quasi-Monte Carlo for Integrands with Point Singularities at Unknown Locations.- Infinite-Dimensional Highly-Uniform Point Sets Defined via Linear Recurrences in $$\mathbb_{2^w } $$ .- Monte Carlo Studies of Effective Diffusivities for Inertial Particles.- An Adaptive Importance Sampling Technique.- MinT: A Database for Optimal Net Parameters.- On Ergodic Measures for McKean-Vlasov Stochastic Equations.- On the Distribution of Some New Explicit Inversive Pseudorandom Numbers and Vectors.- Error Analysis of Splines for Periodic Problems Using Lattice Designs.