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09/01/2020
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method ...
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06/11/2019
Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
Estimating the unknown density from which a given independent sample ori...
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05/28/2019
Array-RQMC for option pricing under stochastic volatility models
Array-RQMC has been proposed as a way to effectively apply randomized qu...
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07/16/2018