23 citations · 36 across the 4 of their papers we have counts for
5 papers
Strang splitting in combination with rank- and rank- lattices for the time-dependent Schrödinger equation
Yuya Suzuki, Gowri Suryanarayana, Dirk Nuyens
We approximate the solution for the time dependent Schrödinger equation (TDSE) in two steps. We first use a pseudo-spectral collocation method that uses samples of functions on ran…
Tent-transformed lattice rules for integration and approximation of multivariate non-periodic functions
Ronald Cools, Frances Y. Kuo, Dirk Nuyens +1
We develop algorithms for multivariate integration and approximation in the weighted half-period cosine space of smooth non-periodic functions. We use specially constructed tent-tr…
Construction of quasi-Monte Carlo rules for multivariate integration in spaces of permutation-invariant functions
Dirk Nuyens, Gowri Suryanarayana, Markus Weimar
We study multivariate integration of functions that are invariant under the permutation (of a subset) of their arguments. Recently, in Nuyens, Suryanarayana, and Weimar (Adv. Compu…
Rank-1 lattice rules for multivariate integration in spaces of permutation-invariant functions: Error bounds and tractability
Dirk Nuyens, Gowri Suryanarayana, Markus Weimar
We study multivariate integration of functions that are invariant under permutations (of subsets) of their arguments. We find an upper bound for the th minimal worst case error…
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…