A framework for adaptive Monte Carlo procedures
Author:
Publisher
Walter de Gruyter GmbH
Subject
Applied Mathematics,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/mcma.2011.002/pdf
Reference16 articles.
1. Adaptative Monte Carlo Method, A Variance Reduction Technique
2. Robbins–Monro algorithms and variance reduction in finance
3. Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
4. Robust adaptive importance sampling for normal random vectors
5. Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation
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