The asymptotic validity of sequential stopping rules for stochastic simulations

DOI10.1214/aoap/1177005777zbMath0792.68200OpenAlexW2066012390MaRDI QIDQ1186303

Peter W. Glynn, Ward Whitt

Publication date: 28 June 1992

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/420b1211fed4c0cd9efbca7f1dea0cc4cfd8309e

zbMATH Keywords

functional central limit theoremsstrong consistencystochastic simulationfixed-width confidence intervalssequential estimationvariance estimatorssequential stopping rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Functional limit theorems; invariance principles (60F17) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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