Monte Carlo computation of multiple weak singular integrals of spherical and Volterra's type
Numerical Analysis
2014-05-27 v1
Abstract
We offer a simple method Monte Carlo for computation of Volterra's and spherical type multiple integrals with weak (integrable) singularities. An elimination of infinity of variance is achieved by incorporating singularities in the density, and we offer a highly effective way for generation of appeared multidimensional distribution. We extend offered method onto multiple Volterra's and spherical integrals with weak singularities containing parameter.
Keywords
Cite
@article{arxiv.1405.6344,
title = {Monte Carlo computation of multiple weak singular integrals of spherical and Volterra's type},
author = {E. Ostrovsky and L. Sirota},
journal= {arXiv preprint arXiv:1405.6344},
year = {2014}
}