Stochastic algorithms and Monte Carlo methods.

MaRDI QIDQ3550745zbMATH OpenFDO

Authors Bouhari Arouna

Publication date 6 April 2010

Full work available at URL http://pastel.paristech.org/1269/

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Monte Carlo methods (65C05)

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Cited in

(6)

• Variance reduction in Monte Carlo methods and optimization problems in \({\mathbb{R}}^ n\)
• Stochastic algorithms
• Monte Carlo strategies in scientific computing.
• Stochastic simulation and Monte-Carlo methods.
• Probabilistic-algebraic algorithms of Monte Carlo methods
• Simulation of diffusions by means of importance sampling paradigm

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