Optimal Formulae of the Conditional Monte Carlo

DOI10.1137/0602031zbMath0498.60049OpenAlexW1992214865MaRDI QIDQ3963792

Boris L. Granovsky

Publication date: 1981

Published in: SIAM Journal on Algebraic Discrete Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0602031

zbMATH Keywords

simulationconditional Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Variance Reduction Techniques for Digital Simulation

Cites Work

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• The Interpretation of Conditional Monte Carlo as a Form of Importance Sampling
• Groups and Conditional Monte Carlo
• A Retrospective and Prospective Survey of the Monte Carlo Method

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