Importance sampling and statistical Romberg method
DOI10.3150/14-BEJ622zbMath1347.60007OpenAlexW4320521321MaRDI QIDQ888470
Mohamed Ben Alaya, Kaouther Hajji, Ahmed Kebaier
Publication date: 30 October 2015
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1438777583
importance samplingMonte Carlo simulationscentral limit theoremvariance reductionalmost sure convergenceEuler schemestochastic algorithmHeston modelstatistical Romberg method
Infinitely divisible distributions; stable distributions (60E07) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Strong limit theorems (60F15) Stochastic approximation (62L20)
Related Items (4)
Cites Work
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