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math.NA2026
Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction
Du Ouyang, Zexin Pan, Zhijian He
We investigate the numerical simulation of general stochastic differential equations (SDEs) using Quasi-Monte Carlo (QMC) methods. First, we provide a rigorous theoretical analysis…
math.NA2026
Uncertainty quantification using importance-sampled quasi-Monte Carlo with dimension-independent convergence rates
Zexin Pan, Du Ouyang, Zhijian He
Quasi-Monte Carlo (QMC) integration over unbounded domains remains challenging due to the high dimensionality of sampling space and the boundary growth of the integr…