Journal
JOURNAL OF COMPLEXITY
Volume 19, Issue 3, Pages 332-351Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/S0885-064X(02)00004-3
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We study the approximation of d-dimensional integrals. We present sufficient conditions for fast quasi-Monte Carlo convergence. They apply to isotropic and non-isotropic problems and, in particular, to a number of problems in computational finance. We show that the convergence rate of quasi-Monte Carlo is of order n(-1+p{log n}-1/2) with p greater than or equal to 0. This is a worst case result. Compared to the expected rate n(-1/2) of Monte Carlo it shows the superiority of quasi-Monte Carlo. (C) 2002 Elsevier Science (USA). All rights reserved.
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