Importance sampling and statistical Romberg method

DOI10.3150/14-BEJ622MaRDI QIDQ888470zbMATH OpenOpenAlexFDO

Authors Mohamed Ben Alaya, Kaouther Hajji, Ahmed Kebaier

Publication date 30 October 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1438777583

zbMATH Keywords

almost sure convergencecentral limit theoremEuler schemeHeston modelimportance samplingMonte Carlo simulationsstatistical Romberg methodstochastic algorithmvariance reduction

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stochastic approximation (62L20) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(5)

• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Importance sampling and statistical Romberg method for Lévy processes
• Adaptive importance sampling for multilevel Monte Carlo Euler method

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