On a New Variant of the Monte Carlo Method

DOI10.1137/1136038MaRDI QIDQ3136332zbMATH OpenOpenAlexFDO

Authors K. Borovkov

Publication date 21 September 1993

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1136038

zbMATH Keywords

Markov chainsMonte Carlo methodmultidimensional integral equationsstochastic search in games

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for integral equations (65R20)

Cited in

(7)

• Hit and run as a unifying device
• \texttt{carlomat\_4.0}, a new version of the general purpose Monte Carlo program
• Improving Monte Carlo Efficiency by Increasing Variance
• Geometrical Monte Carlo method and its modifications
• Billiards in a general domain with random reflections
• Randomized methods based on new Monte Carlo schemes for control and optimization
• Some evaluations for continuous Monte Carlo method by using Brownian hitting process

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