On adaptive stratification

DOI10.1007/s10479-009-0638-9zbMath1279.65007arXiv0809.1135OpenAlexW2149372432MaRDI QIDQ666354

Benjamin Jourdain, Gersende Fort, Pierre Étoré, Eric Moulines

Publication date: 8 March 2012

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.1135

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Probability distributions: general theory (60E05) Financial applications of other theories (91G80)

Related Items (8)

Sequential Monte Carlo Methods for Option Pricing ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Minimax number of strata for online stratified sampling: the case of noisy samples ⋮ On adaptive stratification ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Adaptive stratified Monte Carlo algorithm for numerical computation of integrals

Cites Work

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• On adaptive stratification
• Stochastic simulation: Algorithms and analysis
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Real Analysis and Probability
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
• Simulation and the Monte Carlo Method

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