Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation

DOI10.1057/JORS.1988.158MaRDI QIDQ3823785zbMATH OpenOpenAlexFDO

Authors Robert Ashford, Maria C. M. Guedes

Publication date 1988

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/jors.1988.158

zbMATH Keywords

capital budgetingcontrol variablespercentile estimationstochastic simulationsvariance reduction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(3)

• A cross-estimation technique for using control variables in stochastic simulations
• Using martingales to make stochastic simulations more precise
• On Assessing the Precision of Simulation Estimates of Percentile Points

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