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MONTE CARLO AND QUASI-MONTE CARLO METHODS 2004
NIEDERREITER H., TALAY D. EDITORS.
SPRINGER,
514 pages 73 illus.,
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This book represents the refereed proceedings of the Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing and of the Second International Conference on Monte Carlo and Probabilistic Methods for Partial Differential Equations. These conferences were held jointly at Juan-les-Pins (France) in June 2004. The proceedings include carefully selected papers on many aspects of Monte Carlo methods, quasi-Monte Carlo methods, and the numerical solution of partial differential equations. The reader will be informed about current research in these very active areas.
Contents
Invariance Principles with Logarithmic Averaging for Ergodic Simulations
Olivier Bardou.
Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains
Christophette Blanchet-Scalliet, Awa Diop, Rajna Gibson, Denis Talay, Etienne Tanr´e .
Weak Approximation of Stopped D.usions
F.M. Buchmann, W.P. Petersen .
Approximation of Stochastic Programming Problems
Christine Choirat, Christian Hess, Ra.aello Seri .
The Asymptotic Distribution of Quadratic Discrepancies
Christine Choirat, Ra.aello Seri
Weighted Star Discrepancy of Digital Nets in Prime Bases
Josef Dick, Harald Niederreiter, Friedrich Pillichshammer
Explaining E.ective Low-Dimensionality
Andrew Dickinson . .
Selection Criteria for (Random) Generation of Digital (0,s)-Sequences
Henri Faure .
Imaging of a Dissipative Layer in a Random Medium Using a Time Reversal Method
Jean-Pierre Fouque, Josselin Garnier, Andr´e Nachbin, Knut Sřlna .
VIII Contents
A Stochastic Numerical Method for Di.usion Equations and Applications to Spatially Inhomogeneous Coagulation Processes
Flavius Guia¸s . .
Non-Uniform Low-Discrepancy Sequence Generation and Integration of Singular Integrands
J¨urgen Hartinger, Reinhold Kainhofer .
Construction of Good Rank-1 Lattice Rules Based on the Weighted Star Discrepancy
Stephen Joe . .
Probabilistic Approximation via Spatial Derivation of Some Nonlinear Parabolic Evolution Equations
B. Jourdain .
Myths of Computer Graphics
Alexander Keller .
Illumination in the Presence of Weak Singularities
Thomas Kollig, Alexander Keller . .
Irradiance Filtering for Monte Carlo Ray Tracing
Janne Kontkanen, Jussi R¨as¨anen, Alexander Keller . .
On the Star Discrepancy of Digital Nets and Sequences in Three Dimensions
Peter Kritzer
Lattice Rules for Multivariate Approximation in the Worst Case Setting
Frances Y. Kuo, Ian H. Sloan, Henryk Wo´zniakowski .
Randomized Quasi-Monte Carlo Simulation of Markov Chains with an Ordered State Space
Pierre L’Ecuyer, Christian L´ecot, Bruno Tu.n .
Experimental Designs Using Digital Nets with Small Numbers of Points
Kwong-Ip Liu, Fred J. Hickernell . .
Concentration Inequalities for Euler Schemes
Florent Malrieu, Denis Talay
Fast Component-by-Component Construction, a Reprise for Di.erent Kernels
Dirk Nuyens, Ronald Cools
Contents IX
A Reversible Jump MCMC Sampler for Object Detection in Image Processing
Mathias Ortner, Xavier Descombes, Josiane Zerubia
Quasi-Monte Carlo for Integrands with Point Singularities at Unknown Locations
Art B. Owen
In.nite-Dimensional Highly-Uniform Point Sets De.ned via Linear Recurrences in F2w
Fran¸cois Panneton, Pierre L’Ecuyer .
Monte Carlo Studies of E.ective Di.usivities for Inertial Particles
G.A. Pavliotis, A.M. Stuart, L. Band
An Adaptive Importance Sampling Technique
Teemu Pennanen, Matti Koivu .
MinT: A Database for Optimal Net Parameters
Rudolf Sch¨urer, Wolfgang Ch. Schmid .
On Ergodic Measures for McKean–Vlasov Stochastic Equations
A. Yu. Veretennikov . .
On the Distribution of Some New Explicit Inversive Pseudorandom Numbers and Vectors
Arne Winterhof
Error Analysis of Splines for Periodic Problems Using Lattice Designs
Xiaoyan Zeng, King-Tai Leung, Fred J. Hickernell . . |
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