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The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
2001
Mathematics of Computation
Dimensionally unbounded problems are frequently encountered in practice, such as in simulations of stochastic processes, in particle and light transport problems and in the problems of mathematical finance. This paper considers quasi-Monte Carlo integration algorithms for weighted classes of functions of infinitely many variables, in which the dependence of functions on successive variables is increasingly limited. The dependence is modeled by a sequence of weights. The integrands belong to
doi:10.1090/s0025-5718-01-01377-1
fatcat:vg3hrjqykvavrknxv3chn6unpy