P-quasi Random Number Generators for Obtaining Stochastic Integrals

Behrouz Fathi-Vajargah

Abstract


This paper presents the Monte Carlo method for obtaining the integrals that their amounts whether can or cannot be obtained by classical methods. We finally improve the accuracy of the method for approximating the given integral by Monte Carlo method, using partitioned quasi random numbers. Finally, the comparison of five methods is presented.


Keywords


Random numbers; P-quasi random numbers; Monte Carlo method; Numerical integration.

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