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

efficiencyvariance reductionmartingalesregression analysiscontrol variablesstochastic simulationscontrol statistics

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 4086905 (Why is no real title available?)
• scientific article; zbMATH DE number 3433376 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• A cross-estimation technique for using control variables in stochastic simulations
• Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
• Control Variables with Known Mean and Variance
• Ethical issues in modeling: Some reflections
• Regression Estimation in Simulation
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Statistical analysis of steady-state simulations: Survey of recent progress

Cited in

(1)

• Approximating Martingales for Variance Reduction in Markov Process Simulation

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