Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...

DOI10.1007/978-3-642-04107-5_13zbMath1191.65002OpenAlexW52674758MaRDI QIDQ3405435

Peter W. Glynn, Kevin Leder, Jose H. Blanchet

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_13

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Optimal stochastic control (93E20) Large deviations (60F10)

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