Filtered Monte Carlo

DOI10.1287/MOOR.18.3.610MaRDI QIDQ3140537zbMATH OpenOpenAlexFDO

Authors Paul Glasserman

Publication date 23 January 1994

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

Full work available at URL https://doi.org/10.1287/moor.18.3.610

zbMATH Keywords

associated incrementsassociationfiltered Monte Carlo estimatorfilteringmonotone and convex generatorsStieltjes stochastic integralsvariance reduction

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Unbiased filtering of a class of partially observed diffusions
• scientific article; zbMATH DE number 1971699
• Stochastic monotonicity and conditional Monte Carlo for likelihood ratios
• Monte Carlo, Control Variates, and Stochastic Ordering
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes

Cited in

(4)

• Monte Carlo methods for security pricing
• Filtered probability
• Efficiency improvement techniques
• Large deviations and fast simulation in the presence of boundaries.

This page was built for publication: Filtered Monte Carlo

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3140537)