Unbiased Monte Carlo evaluation of certain functional integrals
From MaRDI portal
confidence intervalsvariance reductionMarkov processMonte Carlo methodsstatistical errortransition functionsystematic errorfunctional integralsFeynman-Kac's type formulasvon Neumann-Ulam scheme
Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)
Recommendations
- Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
- Monte-Carlo estimation of functionals of solutions of homogeneous integral equations
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- scientific article; zbMATH DE number 4126662
- Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials
- Monte Carlo simulation of stochastic integrals when the cost of function evaluation is dimension dependent
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- scientific article; zbMATH DE number 1438352
- scientific article; zbMATH DE number 1752435
Cites work
- scientific article; zbMATH DE number 3841285 (Why is no real title available?)
- scientific article; zbMATH DE number 3851794 (Why is no real title available?)
- scientific article; zbMATH DE number 3879985 (Why is no real title available?)
- scientific article; zbMATH DE number 3932286 (Why is no real title available?)
- scientific article; zbMATH DE number 3976048 (Why is no real title available?)
- scientific article; zbMATH DE number 3676222 (Why is no real title available?)
- scientific article; zbMATH DE number 3635388 (Why is no real title available?)
- scientific article; zbMATH DE number 3226480 (Why is no real title available?)
- scientific article; zbMATH DE number 3362869 (Why is no real title available?)
- A Retrospective and Prospective Survey of the Monte Carlo Method
- A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
- Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
- Approximation of a conditional Wiener integral
- Corrigenda
- Explicit evaluation of certain Gaussian functional integrals arising in problems of statistical physics
- Hermite expansions in Monte-Carlo computation
- Numerical Evaluation of Wiener Integrals
- On Distributions of Certain Wiener Functionals
- The generalized heat flow equation and a corresponding Poisson formula
- Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials
- Zur abschätzung von lösungen linearer integralgleichungen mit hilfe der monte-carlo-methode
Cited in
(21)- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Using the approximation functional bases in Monte Carlo methods
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- scientific article; zbMATH DE number 3963147 (Why is no real title available?)
- Construction of a Monte-Carlo method for calculating Feynman integrals
- scientific article; zbMATH DE number 195176 (Why is no real title available?)
- scientific article; zbMATH DE number 4121159 (Why is no real title available?)
- scientific article; zbMATH DE number 3921796 (Why is no real title available?)
- On nonnegative unbiased estimators
- Importance sampling for Kolmogorov backward equations
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals
- scientific article; zbMATH DE number 4126662 (Why is no real title available?)
- Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
- Numerical evaluation of functionals based on variance minimisation
- A survey of numerical methods for stochastic differential equations
- Exact retrospective Monte Carlo computation of arithmetic average Asian options
- scientific article; zbMATH DE number 11490 (Why is no real title available?)
- On Simulating Wiener Integrals and Their Expectations
- Some new simulations schemes for the evaluation of Feynman–Kac representations
- Convergence properties of Monte Carlo functional expansion tallies
This page was built for publication: Unbiased Monte Carlo evaluation of certain functional integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1089719)
