A New Family of Estimators for Random Walk Problems

DOI10.1093/IMAMAT/23.1.1MaRDI QIDQ4192871zbMATH OpenOpenAlexFDO

Authors Jerome Spanier

Publication date 1979

Published in IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamat/23.1.1

zbMATH Keywords

Biased Importance Sampling EstimatorMonte Carlo EstimationRandom Walk ProblemsWeighted Uniform Sampling Technique

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Statistical mechanics of ferroelectrics (82D45)

Cited in

(2)

• Variance reduction by means of deterministic computation: Collision estimate
• Accelerating the convergence of lattice methods by importance sampling-based transformations

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