Optimal importance sampling parameter search for Lévy processes via stochastic approximation

DOI10.1137/070680564MaRDI QIDQ5305932zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 24 March 2010

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/b39b2a9d3552cf529afbbe2186c15c945ebb05bd

zbMATH Keywords

almost sure convergenceconstrained algorithmEsscher transformimportance sampling methodinfinitely divisible distributionLévy processMonte Carlo simulationnumerical examplesoptimal measure changestochastic approximation algorithmsunconstrained algorithmvariance reduction

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Analysis of variance and covariance (ANOVA) (62J10) Stochastic approximation (62L20) Monte Carlo methods (65C05)

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(20)

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• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Optimizing adaptive importance sampling by stochastic approximation
• On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
• Acceleration on adaptive importance sampling with sample average approximation
• Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
• An importance sampling method based on the density transformation of Lévy processes
• Batching Adaptive Variance Reduction
• Sampling and change of measure for Monte Carlo integration on simplices
• Efficient exponential tilting with applications
• Estimation of systemic shortfall risk measure using stochastic algorithms
• Importance sampling for option pricing with feedforward neural networks
• Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
• Robust adaptive importance sampling for normal random vectors
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