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Adaptive Optimal Allocation in Stratified Sampling Methods · Study

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ArticleAdaptive Optimal Allocation in Stratified Sampling Methods

Pierre Étoré2008

OA

Articlegreen2008

Adaptive Optimal Allocation in Stratified Sampling Methods

Pierre Étoré · Benjamin Jourdain A

50 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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References

2003Monte Carlo Methods in Financial Engineering 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options 2004Adaptative Monte Carlo Method, A Variance Reduction Technique 2008Controlled stratification for quantile estimation

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2008Active Learning in Multi-armed Bandits 2010Active learning in heteroscedastic noise 2010Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata 2009On adaptive stratification

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Year2008

Typearticle

Published2008-10-15

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11009-008-9108-0

openalex_workW1977790907

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