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A framework for adaptive Monte Carlo procedures
12 references·1 citing·38 second hop
A framework for adaptive Monte Carlo procedures (2011)A framework for adaptive Monte Carlo proc…Unconstrained recursive importance sampling (2010)Unconstrained recursive impor…Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (2008)Optimal Importance Sampling P…Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation (2007)Adaptive Monte Carlo Variance…Adaptive Control Variates for Finite-Horizon Simulation (2007)Adaptive Control Variates for…Adaptative Monte Carlo Method, A Variance Reduction Technique (2004)Adaptative Monte Carlo Method…Robbins–Monro algorithms and variance reduction in finance (2003)Robbins–Monro algorithms and …Optimal importance sampling in securities pricing (2002)Optimal importance sampling i…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes (1993)Stochastic Approximation with…Acceleration of Stochastic Approximation by Averaging (1992)Acceleration of Stochastic Ap…Central limit theorems for local martingales (1980)Central limit theorems for lo…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation (2017)Coupling Importance Sampling …Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata (2010)Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process (2015)Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (2016)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Budget-Dependent Convergence Rate of Stochastic Approximation (1998)Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms (2006)A companion for the Kiefer–Wolfowitz–Blum stochastic approximation algorithm (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingale Methods in Financial Modelling (1997)Stochastic Approximation and Recursive Algorithms and Applications (2003)Adaptive Optimal Allocation in Stratified Sampling Methods (2008)Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Unconstrained Recursive Importance Sampling (2010)Stochastic Estimation of the Maximum of a Regression Function (1952)Optimization of computer simulation models with rare events (1997)Proceedings of the 2002 Winter Simulation Conference (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)Monte Carlo Methods in Financial Engineering (2003)STOCHASTIC APPROXIMATION (2005)On Square Integrable Martingales (1967)Diffusion processes with continuous coefficients, I (1969)A Functional Central Limit Theorem for Semimartingales (1981)Stopping Times and Tightness. II (1989)Martingale proofs of many-server heavy-traffic limits for Markovian queues (2007)Queue-and-Idleness-Ratio Controls in Many-Server Service Systems (2009)A framework for adaptive Monte Carlo procedures (2011)Finite-Element Methods (2012)Some aspects of the sequential design of experiments (1952)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)
this work references cited by second hop

References

  • 1951A Stochastic Approximation Method9,630 cited
  • 1992Acceleration of Stochastic Approximation by Averaging1,822 cited
  • 1980Central limit theorems for local martingales253 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1993Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes88 cited
  • 2004Adaptative Monte Carlo Method, A Variance Reduction Technique84 cited
  • 2003Robbins–Monro algorithms and variance reduction in finance54 cited
  • 2002Optimal importance sampling in securities pricing38 cited
  • 2010Unconstrained recursive importance sampling34 cited
  • 2008Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation28 cited
  • 2007Adaptive Control Variates for Finite-Horizon Simulation24 cited
  • 2007Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation23 cited

Cited by

  • 2017Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation20 cited

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