Adaptive Control Variates for Finite-Horizon Simulation

DOI10.1287/MOOR.1070.0251MaRDI QIDQ5388044zbMATH OpenOpenAlexFDO

Authors Sujin Kim, Shane G. Henderson

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.1070.0251

zbMATH Keywords

adaptive Monte Carlocontrol variatesvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Adaptive control/observation systems (93C40)

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Cited in

(9)

• Adaptive importance sampling and control variates
• Automatic control variates for option pricing using neural networks
• Solving BSDE with Adaptive Control Variate
• A framework for adaptive Monte Carlo procedures
• Adaptive simulation using perfect control variates
• IMPROVING SIMULATION EFFICIENCY WITH QUASI CONTROL VARIATES
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Batching Adaptive Variance Reduction
• Robust adaptive importance sampling for normal random vectors

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