Filtered Monte Carlo

DOI10.1287/moor.18.3.610zbMath0780.65084OpenAlexW2136155717MaRDI QIDQ3140537

Paul Glasserman

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

zbMATH Keywords

filteringvariance reductionassociationassociated incrementsfiltered Monte Carlo estimatormonotone and convex generatorsStieltjes stochastic integrals

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

Monte Carlo methods for security pricing ⋮ Efficiency improvement techniques ⋮ Large deviations and fast simulation in the presence of boundaries.

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