A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight

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摘要

Details are given for a Fortran implementation of an algorithm that uses stochastic spherical–radial rules for the numerical computation of multiple integrals over unbounded regions with Gaussian weight. The implemented rules are suitable for high-dimensional problems. A high-dimensional example from a computational finance application is used to illustrate the use of the rules.

论文关键词:High-dimensional integral,Monte Carlo,Gaussian weight

论文评审过程:Received 29 May 1997, Revised 17 April 1998, Available online 9 December 1999.

论文官网地址:https://doi.org/10.1016/S0377-0427(99)00214-9