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Quasi-Monte Carlo method

In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences (also called quasi-random sequences or sub-ran

Quasi-Monte Carlo methods in finance

High-dimensional integrals in hundreds or thousands of variables occur commonly in finance. These integrals have to be computed numerically to within a threshold . If the integral is of dimension then

Van der Corput sequence

A van der Corput sequence is an example of the simplest one-dimensional low-discrepancy sequence over the unit interval; it was first described in 1935 by the Dutch mathematician J. G. van der Corput.

Sobol sequence

Sobol sequences (also called LPτ sequences or (t, s) sequences in base 2) are an example of quasi-random low-discrepancy sequences. They were first introduced by the Russian mathematician Ilya M. Sobo

Low-discrepancy sequence

In mathematics, a low-discrepancy sequence is a sequence with the property that for all values of N, its subsequence x1, ..., xN has a low discrepancy. Roughly speaking, the discrepancy of a sequence

Halton sequence

In statistics, Halton sequences are sequences used to generate points in space for numerical methods such as Monte Carlo simulations. Although these sequences are deterministic, they are of low discre

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