A construction of polynomial lattice rules with small gain coefficients

Author:

Baldeaux Jan,Dick Josef

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Reference35 articles.

1. Baldeaux, J.: Higher order nets and sequences, PhD thesis, The University of New South Wales (2010)

2. Caflish R.E., Morokoff W.J., Owen A.B.: Valuation of mortgage backed securities using Brownian Bridges to reduce effective dimension. J. Comput. Finance 1, 27–46 (1997)

3. Dick, J.: On the fast component-by-component algorithm for polynomial lattice rules. http://quasirandomideas.wordpress.com/2009/12/31/fast-cbc-for-polynomial-lattice-rules , Posted on December 31st 2009, Last accessed February 2nd 2010

4. Dick, J., Gnewuch, M.: Embedding theorems for fractional spaces and numerical integration (in preparation)

5. Dick J., Kuo F., Pillichshammer F., Sloan I.: Construction algorithms for polynomial lattice rules for multivariate integration. Math. Comput. 74, 1895–1921 (2005)

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