On Effective Computation of Expectations in Large or Infinite Dimension
Bouleau, Nicolas
HAL, hal-00448696 / Harvested from HAL
Text on HAL
This study is an analysis of the natural difficulties of integration by Monte Carlo or quasi-Monte Carlo methods. In spite of what is sometimes written, these methods work only in some precise cases. For the important problem of the computation of expectations of functionals of stochastic processes, we present the advantages of a method based on the implementation of the Bernoulli shift operator by pointers.
Publié le : 1990-07-05
Classification:  Monte Carlo,  quasi-Monte Carlo,  Riemann integrable,  discrepancy,  effectivity,  infinite dimension,  Bernoulli shift,  pointer,  MSC 60-08,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] 
@article{hal-00448696,
     author = {Bouleau, Nicolas},
     title = {On Effective Computation of Expectations in Large or Infinite Dimension},
     journal = {HAL},
     volume = {1990},
     number = {0},
     year = {1990},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00448696}
}

Bouleau, Nicolas. On Effective Computation of Expectations in Large or Infinite Dimension. HAL, Tome 1990 (1990) no. 0, . http://gdmltest.u-ga.fr/item/hal-00448696/