Sensitivity Ranks by Monte Carlo

DOI10.1007/978-3-030-43465-6_15OpenAlexW3020895913MaRDI QIDQ5117936FDOQ5117936

Authors: Ian Iscoe, Alexander Kreinin 

Publication date: 26 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-43465-6_15

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zbMATH Keywords

large deviationsexponential rate of convergencesensitivity ranks

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
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• Interest rate models -- theory and practice. With smile, inflation and credit
• Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems
• Asymptotic simulation efficiency based on large deviations

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