High-dimensional integrals are usually solved with Monte Carlo algorithms although theory suggests that low discrepancy algorithms are sometimes superior. We report on numerical testing which compares low discrepancy and Monte Carlo algorithms on the evaluation of financial derivatives. The...

This paper analyzes the complexity of the contraction fixed point problem: compute an approximation to the fixed point V* = I*(V*) of a contraction mapping I* that maps a Banach space of continuous functions of variables into itself. We focus on quasi linear contractions where I* is a nonlinear...