2 papers
math.NA2025
Randomized Quasi-Monte Carlo and Importance Sampling for Super-Fast Growing Functions with Applications to Finance
Jianlong Chen, Yu Xu, Jiarui Du +1
Many problems can be formulated as high-dimensional integrals of discontinuous functions that exhibit significant boundary growth, challenging the error analysis and applications o…
math.NA2025
Enhanced convergence rates of Adaptive Importance Sampling with recycling schemes via quasi-Monte Carlo methods
Jianlong Chen, Jiarui Du, Xiaoqun Wang +1
This article investigates the integration of quasi-Monte Carlo (QMC) methods using the Adaptive Multiple Importance Sampling (AMIS). Traditional Importance Sampling (IS) often suff…