Title: Adaptative Monte Carlo Method, A Variance Reduction Technique
Abstract: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 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.Read More
Publication Year: 2004
Publication Date: 2004-03-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 9
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