Simple Stratified Sampling for Simulating Multi-dimensional Markov Chains
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-59762-6_15
Reference15 articles.
1. Ben Abdallah, A., L’Ecuyer, P., Puchhammer, F.: Array-RQMC for option pricing under stochastic volatility models. In: Mustafee, N., Bae, K.-H.G., Lazarova-Molnar, S., Rabe, M., Szabo, C., Haas, P., Son, Y.-J. (eds.) Proceedings of the 2019 Winter Simulation Conference, pp. 440–451. IEEE Press (2019)
2. Cheng, R.C.H., Davenport, T.: The problem of dimensionality in stratified sampling. Manag. Sci. 35, 1278–1296 (1989)
3. El Haddad, R., Fakhreddine, R., Lécot, C.: Stratified Monte Carlo integration. In: Sabelfeld, K.K., Dimov, I. (eds.) Monte Carlo Methods and Applications, pp. 105–113. De Gruyter, Berlin (2013)
4. El Haddad, R., Fakhereddine, R., Lécot, C., Venkiteswaran, G.: Extended Latin hypercube sampling for integration and simulation. In: Dick, J., Kuo, F.Y., Peters, G.W., Sloan, I.H. (eds.) Monte Carlo and Quasi-Monte Carlo Methods 2012, pp. 317–330. Springer, Berlin (2013)
5. El Haddad, R., El Maalouf, J., Lécot, C., L’Ecuyer, P.: Sudoku Latin square sampling for Markov chain simulation. In: Tuffin, B., L’Ecuyer, P. (eds.) Monte Carlo and Quasi-Monte Carlo Methods, pp. 207–230. Springer, Cham (2020)
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