THE SHIFT: Properties and recommendations for practical use

DOI10.1515/MCMA.1995.1.2.137MaRDI QIDQ4868306zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau

Publication date 5 August 1996

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

Full work available at URL https://arxiv.org/abs/math/0610729

zbMATH Keywords

convergenceexpectationMonte Carlo methodnumerical exampleshift method

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: Because the stochastic calculus yields rarely random variables with laws defined by explicit closed formulas, probabilistic numerical computations are done most often by simulation. The simulation by the shift, whose field of application is as wide as that of Monte Carlo method, is particularly relevant when the simulations use, for each sample, a large number of calls to the random function. We give here the theoretical features, the implementation and the specific advantages of this method.

Recommendations

• On effective computation of expectations in large or infinite dimension
• Resolution of differential equations by the shift method
• Adaptive algorithm of Monte Carlo type for calculating the integral characteristics of complex systems
• On numerical integration by the shift and application to Wiener space
• scientific article; zbMATH DE number 699438

Cited in

(4)

• On numerical integration by the shift and application to Wiener space
• Shifting supports in Esö and Szentes (2007)
• Rate of convergence for computing expectations of stopping functionals of an α-mixing process
• On effective computation of expectations in large or infinite dimension

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