Hermite expansions in Monte-Carlo computation

Authors:
Alexandre Joel Chorin
Affiliations:
Courant Institute of Mathematical Sciences, New York University, New York, 10012, USA
Venue:
Journal of Computational Physics
Year:
1971

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Abstract

The expansion of estimators and estimands in Hermite (or Wiener-Hermite) series can substantially improve the accuracy and efficiency of Monte-Carlo algorithms.