86 citations · 242 across the 30 of their papers we have counts for
4 papers · 1 filter
Theory and construction of Quasi-Monte Carlo rules for option pricing and density estimation
Alexander D. Gilbert, Frances Y. Kuo, Ian H. Sloan +1
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability…
Uncertainty quantification for random domains using periodic random variables
Harri Hakula, Helmut Harbrecht, Vesa Kaarnioja +2
We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently in…
Constructing Embedded Lattice-based Algorithms for Multivariate Function Approximation with a Composite Number of Points
Frances Y. Kuo, Weiwen Mo, Dirk Nuyens
We approximate -variate periodic functions in weighted Korobov spaces with general weight parameters using function values at lattice points. We do not limit to be a pri…
Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration
Philipp A. Guth, Vesa Kaarnioja, Frances Y. Kuo +2
We study the application of a tailored quasi-Monte Carlo (QMC) method to a class of optimal control problems subject to parabolic partial differential equation (PDE) constraints un…