Replication Schemes For Limiting Expectations

DOI10.1017/S0269964800001170MaRDI QIDQ3415931zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800001170

Mathematics Subject Classification ID

Statistics (62-XX) Computing methodologies and applications (68U99)

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• Limit theorems for the method of replication
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Cites work

• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
• scientific article; zbMATH DE number 3538576 (Why is no real title available?)
• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• Limit theorems for the method of replication
• On the calculation of definite integrals dependent on a parameter by the monte carlo method
• Upper bounds on Poisson tail probabilities

Cited in

(7)

• Computing Bayesian means using simulation
• Copula sensitivity analysis for portfolio credit derivatives
• Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
• Derivative-free optimization via finite difference approximation: an experimental study
• Limit theorems for the method of replication
• Asymptotic simulation efficiency based on large deviations
• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo

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