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- W1999100558 abstract "This study is an analysis of the natural difficulties of integration by Monte Carlo or quasi Monte Carlo methods. In spite of what is sometimes written, these methods work only in some precise cases. For the important problem of the computation of expectations of functionals of stochastic processes, we present the advantages of a method based on the implementation of the Bernoulli shift operator by pointers. Cette étude est une analyse des difficultés inhérentes à l'intégration par des méthodes de Monte Carlo ou de quasi- Monte Carlo. Contrairement à ce qui est écrit parfois ces méthodes ne sont praticables que dans certains cas. Pour le problème important du calcul de l'espérance de fonctionnelles de processus stochastiques, on présente les avantages d'une méthode de simulation en dimension grande ou infinie fondée sur une implémentation de l'opérateur de shift par des pointeurs." @default.
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- W1999100558 date "1990-07-01" @default.
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- W1999100558 title "On effective computation of expectations in large or infinite dimension" @default.
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- W1999100558 doi "https://doi.org/10.1016/0377-0427(90)90333-u" @default.
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