A framework for adaptive Monte Carlo procedures

DOI10.1515/MCMA.2011.002zbMath1223.65003arXiv1001.3551MaRDI QIDQ3168631

Jérôme Lelong, Bernard Lapeyre

Publication date: 19 April 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3551

zbMATH Keywords

convergence; importance sampling; stochastic approximation; Brownian motion; numerical experiments; Monte Carlo methods; adaptive algorithm; central limit theorem; variance reduction; basket options; risk neutral measure; local volatility model; expectation with free parameter

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60F05: Central limit and other weak theorems

65C05: Monte Carlo methods

60J65: Brownian motion

65C40: Numerical analysis or methods applied to Markov chains

62L20: Stochastic approximation

65C30: Numerical solutions to stochastic differential and integral equations

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