scientific article; zbMATH DE number 1069619

MaRDI QIDQ4356581zbMATH OpenFDO

Authors Nigel J. Newton

Publication date 25 November 1997

zbMATH Keywords

Itô stochastic differential equationsMonte Carlo methodsvariance reduction methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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(7)

• Variance reduction for Monte Carlo simulation of stochastic environmental models
• scientific article; zbMATH DE number 3890692 (Why is no real title available?)
• Variance Reduction for Simulated Diffusions
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Variance reduction for Monte Carlo methods by means of deterministic numerical computation
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Some evaluations for continuous Monte Carlo method by using Brownian hitting process

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