Modification of two-step Monte Carlo algorithms based on the symmetry of the first step

DOI10.1134/S0965542509110098MaRDI QIDQ2995689zbMATH OpenOpenAlexFDO

Authors S. A. Rozhenko, G. A. Mikhaĭlov

Publication date 4 May 2011

Published in Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0965542509110098

zbMATH Keywords

Bellman principleMonte Carlo method, two-step algorithm, splitting method, complexity estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20)

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(2)

• Splitting of trajectories in the Monte Carlo method taking into account the symmetry of the source
• Algorithms for the calculation of the second moment of geometrical splitting in Monte Carlo

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