Adaptative Monte Carlo Method, A Variance Reduction Technique
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| 001 | 378921193 | ||
| 003 | CHVBK | ||
| 005 | 20180305123605.0 | ||
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| 008 | 161128e20040301xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1515/156939604323091180 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.1515/156939604323091180 | ||
| 100 | 1 | |a Arouna |D Bouhari |u CERMICS, Ecole Nationale des Ponts et Chaussées, 77455 Marne La Vallée, 6 et 8 av. Blaise Pascal, France, email: arouna@cermics.enpc.fr | |
| 245 | 1 | 0 | |a Adaptative Monte Carlo Method, A Variance Reduction Technique |h [Elektronische Daten] |c [Bouhari Arouna] |
| 520 | 3 | |a In this article we propose an adaptative variance reduction method for Monte Carlo simulations. The method uses importance sampling scheme based on a change of drift. The change of drift is selected adaptatively through the Monte Carlo computation by using a suitable sequence of approximation. We state and prove theoretical results supporting the use of the method. We develop two applications of the procedure for variance reduction in a Monte Carlo computation in finance and in reliability. | |
| 540 | |a Copyright 2004, Walter de Gruyter | ||
| 690 | 7 | |a Monte Carlo methods |2 nationallicence | |
| 690 | 7 | |a variance reduction |2 nationallicence | |
| 690 | 7 | |a Importance Sampling |2 nationallicence | |
| 690 | 7 | |a Robbins-Monro algorithms |2 nationallicence | |
| 690 | 7 | |a Martingales |2 nationallicence | |
| 690 | 7 | |a Chen projection method |2 nationallicence | |
| 773 | 0 | |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 10/1(2004-03-01), 1-24 |x 0929-9629 |q 10:1<1 |1 2004 |2 10 |o mcma | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/156939604323091180 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1515/156939604323091180 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Arouna |D Bouhari |u CERMICS, Ecole Nationale des Ponts et Chaussées, 77455 Marne La Vallée, 6 et 8 av. Blaise Pascal, France, email: arouna@cermics.enpc.fr | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 10/1(2004-03-01), 1-24 |x 0929-9629 |q 10:1<1 |1 2004 |2 10 |o mcma | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||