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- Gerhard Larcher, Gunther Leobacher, Klaus Scheicher
- J. Complexity
- 2003

Recent results in the theory of quasi-Monte Carlo methods have shown that the weighted Koksma-Hlawka inequality gives better estimates for the error of quasi-Monte Carlo algorithms. We present aâ€¦ (More)

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process isâ€¦ (More)

- Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
- J. Computational Applied Mathematics
- 2015

Lattice rules and polynomial lattice rules are quadrature rules for approximating integrals over the s-dimensional unit cube. Since no explicit constructions of such quadrature methods are known forâ€¦ (More)

- Jan Baldeaux, Josef Dick, Gunther Leobacher, Dirk Nuyens, Friedrich Pillichshammer
- Numerical Algorithms
- 2011

We show how to obtain a fast component-by-component construction algorithm for higher order polynomial lattice rules. Such rules are useful for multivariate quadrature of high-dimensional smoothâ€¦ (More)

- Gunther Leobacher, Friedrich Pillichshammer
- J. Complexity
- 2003

Quite recently Sloan and WoÅºniakowski [4] introduced a new notion of discrepancy, the so called weighted L discrepancy of points in the d-dimensional unit cube for a sequence Î³ = (Î³1, Î³2, . . .) ofâ€¦ (More)

- Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
- SIAM J. Numerical Analysis
- 2005

We introduce a new construction method for digital nets which yield point sets in the s-dimensional unit cube with small star discrepancy. The digital nets are constructed using polynomials overâ€¦ (More)

- Gunther Leobacher
- Monte Carlo Meth. and Appl.
- 2006

We provide a method for the generation of paths of LÃ©vy processes which has many of the benefits that the Brownian bridge construction has for Brownian motion. We show how, using our method, one canâ€¦ (More)

- Gunther Leobacher, Friedrich Pillichshammer
- Computing
- 2002

It has been observed by E. Eberlein and U. Keller that the hyperbolic distribution fits logarithmic rates of returns of a stock much better than the normal distribution. We give a method for samplingâ€¦ (More)

- Ligia L. Cristea, Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
- Numerische Mathematik
- 2007

In this paper we investigate multivariate integration in reproducing kernel Sobolev spaces for which the second partial derivatives are square integrable. As quadrature points for our quasi-Monteâ€¦ (More)

- Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
- Finite Fields and Their Applications
- 2007

In this paper we study construction algorithms for polynomial lattice rules over arbitrary polynomials. Polynomial lattice rules are a special class of digital nets which yield well distributed pointâ€¦ (More)