Using martingales to make stochastic simulations more precise

DOI10.1016/0377-2217(89)90472-4MaRDI QIDQ1262109zbMATH OpenOpenAlexFDO

Authors E. M. L. Beale, Robert Ashford

Publication date 1989

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(89)90472-4

zbMATH Keywords

control statisticscontrol variablesefficiencymartingalesregression analysisstochastic simulationsvariance reduction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Review text

This paper proposes to improve the efficiency of stochastic simulations by using martingales as control statistics. The theory is presented and a simple example is used to illustrate the approach.

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Cites work

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• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
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Cited in

(2)

• Efficiency improvement techniques
• Approximating Martingales for Variance Reduction in Markov Process Simulation

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