Filtered Monte Carlo
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Publication:3140537
DOI10.1287/moor.18.3.610zbMath0780.65084MaRDI QIDQ3140537
Publication date: 23 January 1994
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.18.3.610
filtering; variance reduction; association; associated increments; filtered Monte Carlo estimator; monotone and convex generators; Stieltjes stochastic integrals
65C05: Monte Carlo methods
60G35: Signal detection and filtering (aspects of stochastic processes)
65C99: Probabilistic methods, stochastic differential equations
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