This book presents the refereed proceedings of the 15th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held in Linz, Austria, and organized by the Johannes Kepler University Linz and the Austrian Academy of Sciences, in July 2022. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these highly active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, in particular arising in finance, statistics and computer graphics.
Part I Invited Articles: C. A. Beschle, A. Barth, Quasi Continuous Level
Monte Carlo for Random Elliptic PDEs.- M. B. Giles, MLMC Techniques for
Discontinuous Functions.- T. Helin, A. M. Stuart, A. L. Teckentrup, K. C.
Zygalakis, Introduction to Gaussian Process Regression in Bayesian Inverse
Problems, with new Results on Experimental Design for Weighted Error
Measures.- V. Kaarnioja, Frances Y. Kuo, Ian H. Sloan, Lattice-Based Kernel
Approximation and Serendipitous Weights for Parametric PDEs in Very High
Dimensions.- E. Novak, Optimal Algorithms for Numerical Integration: Recent
Results and Open Problems.- Chris. J. Oates, Minimum Kernel Discrepancy
Estimators.- Gabriel Stoltz, Error Estimates and Variance Reduction for
Nonequilibrium Stochastic Dynamics.- Part II Contributed Articles: F. Bernal,
A. Berridi, Heuristics for the Probabilistic Solution of BVPs with Mixed
Boundary Conditions.- Sou-Cheng T. Choi, Y. Ding, Fred J. Hickernell, J.
Rathinavel, Aleksei G. Sorokin, Challenges in Developing Great Quasi-Monte
Carlo Software.- L. Enzi, S. Thonhauser, Numerical Computation of Risk
Functionals in PDMP Risk Models.- J. Fiedler, M. Gnewuch, Christian Weiß, New
Bounds for the Extreme and the Star Discrepancy of Double-Infinite Matrices.-
C. Garcķa-Pareja, F. Nobile, Unbiased Likelihood Estimation of Wright-Fisher
Diffusion Processes.- Alexander D. Gilbert, Frances Y. Kuo, Ian H. Sloan, A.
Srikumar, Theory and Construction of Quasi-Monte Carlo Rules for Asian Option
Pricing and Density Estimation.- Philipp A. Guth, V. Kaarnioja, Application
of Dimension Truncation Error Analysis to High Dimensional Function
Approximation in Uncertainty Quantification.- Rami El Haddad, C. Lécot,
Pierre LEcuyer, Simple Stratified Sampling for Simulating Multi-Dimensional
Markov Chains.- K. Harsha, M. Gnewuch, M. Wnuk, Infinite-Variate
𝐿2-Approximation with Nested Subspace Sampling.- S. Heinrich,
Randomized Complexity of Vector-Valued Approximation.-
A. Keller, C. Wächter, N. Binder, Quasi-Monte Carlo Algorithms (not only) for
Graphics Software.- S. Krumscheid, Per Pettersson, Sequential Estimation
using Hierarchically Stratified Domains with Latin Hypercube Sampling.-
Frances Y. Kuo, Weiwen Mo, D. Nuyens, Ian H. Sloan, A. Srikumar, Comparison
of Two Search Criteria for Lattice-based Kernel Approximation.- M. Longo, C.
Schwab, A. Stein, A-posteriori QMC-FEM Error Estimation for Bayesian
Inversion and Optimal Control with Entropic Risk Measure.- E. Lųvbak, F.
Blondeel, A. Lee, L. Vanroye, Andreas Van Barel, G. Samaey, Reversible Random
Number Generation for Adjoint Monte Carlo Simulation of the Heat Equation.-
H. Maatouk, D. Rulličre, X. Bay, Large Scale Gaussian Processes with
Matherons Update Rule and Karhunen-Ločve Expansion.- A. Mickel, A.
Neuenkirch, The Order Barrier for the 𝐿1-approximation of the
Log-Heston SDE at a Single Point.- D. Nuyens, L. Wilkes, A Randomised Lattice
Rule Algorithm with Pre-determined Generating Vector and Random Number of
Points for Korobov Spaces with 0 < 𝛼 1/2.- L. Paulin, D.
Coeurjolly, N. Bonneel, Jean-Claude Iehl, V. Ostromoukhov, A. Keller,
Generator Matrices by Solving Integer Linear Programs.- K. Ravi, T. Neckel,
Hans-Joachim Bungartz, Multi-fidelity No-U-Turn Sampling.- C. Reisinger, M.
Olympia Tsianni, Convergence of the EulerMaruyama Particle Scheme for a
Regularised McKeanVlasov Equation Arising from the Calibration of
Local-stochastic Volatility models.- A. G. Sorokin, J. Rathinavel, On
Bounding and Approximating Functions of Multiple Expectations using
Quasi-Monte Carlo.- K. Spendier, M. Szölgyenyi, Convergence of the
Tamed-EulerMaruyama Method for SDEs with Discontinuous and Polynomially
Growing Drift.- Vķctor de la Torre, J. Marzo, QMC Strength for some Random
Configurations on the Sphere.- P. Vanmechelen, G. Lombaert, G. Samaey,
Multilevel MCMC with Level-Dependent Data in a Model Case of Structural
Damage Assessment.- M. Wnuk, A Note on Compact Embeddings of Reproducing
Kernel Hilbert Spaces in 𝐿2 and Infinite-variate Function
Approximation.
