Stratified Monte Carlo simulation of Markov chains

DOI10.1016/J.MATCOM.2016.12.004MaRDI QIDQ2229037zbMATH OpenOpenAlexFDO

Authors Rana Fakhereddine, Rami El Haddad, Joseph El Maalouf, Christian Lécot

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.06386

zbMATH Keywords

Markov chainsMonte Carlo simulationstratified sampling

Mathematics Subject Classification ID

Statistics (62-XX) Numerical analysis (65-XX)

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Cited in

(5)

• Stratified Monte Carlo quadrature for continuous random fields
• Using Markov transition matrices to generate trial configurations in Markov chain Monte Carlo simulations
• Sudoku Latin Square Sampling for Markov Chain Simulation
• Stratified Monte Carlo simulation of Markov chains
• An efficient hybrid algorithm based on Monte Carlo method for pricing catastrophic reinsurance contract under a Markov-switching stochastic turbulence model

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