On nonasymptotic optimal stopping criteria in Monte Carlo simulations

DOI10.1137/130911433MaRDI QIDQ2875009zbMATH OpenOpenAlexFDO

Authors Christian Bayer, R. Tempone, Erik von Schwerin, Håkon Hoel

Publication date 13 August 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10754/555670

zbMATH Keywords

nonasymptoticnumerical examplesMonte Carlo methodsoptimal stoppingsequential stopping rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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