A framework for adaptive Monte Carlo procedures
Publication:3168631
DOI10.1515/MCMA.2011.002zbMath1223.65003arXiv1001.3551MaRDI QIDQ3168631
Jérôme Lelong, Bernard Lapeyre
Publication date: 19 April 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.3551
convergenceimportance samplingstochastic approximationBrownian motionnumerical experimentsMonte Carlo methodsadaptive algorithmcentral limit theoremvariance reductionbasket optionsrisk neutral measurelocal volatility modelexpectation with free parameter
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Related Items (11)
Cites Work
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- Adaptive Control Variates for Finite-Horizon Simulation
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