Adaptative Monte Carlo method, a variance reduction technique

Monte Carlo Methods and Applications

Volumn 10, Issue 1, 2004, Pages 1-24

  Arouna, Bouhari ^a  

^a UNIVERSITÉ PARIS EST   (France)

Author keywords

Chen projection method; Importance sampling; Martingales; MonteCarlo methods; Robbins monro algorithms; Variance reduction

Indexed keywords

EID: 34547876952     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/156939604323091180     Document Type: Article

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