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03/29/2021
Density Estimation by Monte Carlo and Quasi-Monte Carlo
Estimating the density of a continuous random variable X has been studie...
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12/18/2020
A Tool for Custom Construction of QMC and RQMC Point Sets
We present LatNet Builder, a software tool to find good parameters for l...
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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
