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

zbMATH Keywords

importance samplingMonte Carlo simulationscentral limit theoremvariance reductionalmost sure convergenceEuler schemestochastic algorithmHeston modelstatistical Romberg method

Mathematics Subject Classification ID

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)

Importance sampling and statistical Romberg method for Lévy processes ⋮ Coupling importance sampling and multilevel Monte Carlo using sample average approximation ⋮ Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method

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