Robust adaptive importance sampling for normal random vectors

DOI10.1214/09-AAP595zbMath1202.62106arXiv0811.1496MaRDI QIDQ983877

Benjamin Jourdain, Jérôme Lelong

Publication date: 13 July 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.1496

zbMATH Keywords

sample averaging

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic programming (90C15) Stochastic approximation (62L20)

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Cites Work

• Adaptive optimal allocation in stratified sampling methods
• Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
• Unconstrained recursive importance sampling
• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Adaptive Control Variates for Finite-Horizon Simulation
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