16 citations · 63 across the 12 of their papers we have counts for
14 papers
Infinite-dimensional integration and -approximation on Hermite spaces
Michael Gnewuch, Aicke Hinrichs, Klaus Ritter +1
We study integration and -approximation of functions of infinitely many variables in the following setting: The underlying function space is the countably infinite tensor prod…
Adaptive Quantile Computation for Brownian Bridge in Change-Point Analysis
Jürgen Franke, Mario Hefter, André Herzwurm +2
As an example for the fast calculation of distributional parameters of Gaussian processes, we propose a new Monte Carlo algorithm for the computation of quantiles of the supremum n…
An Adaptive Random Bit Multilevel Algorithm for SDEs
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations for solutions of stochastic differential equations and functionals on the path space by means of Monte C…
Embeddings for Infinite-Dimensional Integration and -Approximation with Increasing Smoothness
M. Gnewuch, M. Hefter, A. Hinrichs +2
We study integration and -approximation on countable tensor products of function spaces of increasing smoothness. We obtain upper and lower bounds for the minimal errors, whic…
Random Bit Multilevel Algorithms for Stochastic Differential Equations
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations $\E(f(X))$ for solutions of SDEs and functionals by means of restricted Monte Carlo algorithms that m…
Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations $\E(f(X))$ for Gaussian random elements with values in a separable Hilbert space and Lipschitz continuous functionals $f \colon H…