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Adaptive Optimal Allocation in Stratified Sampling Methods
4 references·6 citing·34 second hop
Adaptive Optimal Allocation in Stratified Sampling Methods (2008)Adaptive Optimal Allocation in Stratified…Controlled stratification for quantile estimation (2008)Controlled stratification for…Adaptative Monte Carlo Method, A Variance Reduction Technique (2004)Adaptative Monte Carlo Method…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…ADAPTIVE STRATIFIED SAMPLING FOR NONSMOOTH PROBLEMS (2022)ADAPTIVE STRATIFIED SAMPLING …Control variates and conditional Monte Carlo for basket and Asian options (2013)Control variates and conditio…Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata (2010)Asymptotically optimal alloca…Active learning in heteroscedastic noise (2010)Active learning in heterosced…On adaptive stratification (2009)On adaptive stratificationActive Learning in Multi-armed Bandits (2008)Active Learning in Multi-arme…A pricing method for options based on average asset values (1990)Stochastic Simulation (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)Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Efficient reliability-based design optimization of composite structures via isogeometric analysis (2021)Unconstrained Recursive Importance Sampling (2010)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)Simulation and the Monte Carlo Method (1981)Design and Analysis of Computer Experiments (1989)Design and Modeling for Computer Experiments (2005)Extreme quantile estimation with nonparametric adaptive importance sampling (2012)A survey of rare event simulation methods for static input–output models (2014)Bayesian Subset Simulation (2017)Theory of optimal experiments (1972)Finite-time Analysis of the Multiarmed Bandit Problem (2002)Bandits Games and Clustering Foundations (2010)Trading Off Scientific Knowledge and User Learning with Multi-Armed Bandits (2014)Simulation and the Monte Carlo Method (2007)Sequential Monte Carlo Methods for Option Pricing (2011)Theory of Optimal Experiments. (1972)Online Least Squares Estimation with Self-Normalized Processes: An Application to Bandit Problems (2011)Numerical Methods for Stochastic Computations: A Spectral Method Approach (2010)Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (2011)An hp‐adaptive multi‐element stochastic collocation method for surrogate modeling with information re‐use (2023)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 2004Adaptative Monte Carlo Method, A Variance Reduction Technique84 cited
  • 2008Controlled stratification for quantile estimation68 cited

Cited by

  • 2008Active Learning in Multi-armed Bandits49 cited
  • 2010Active learning in heteroscedastic noise43 cited
  • 2010Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata26 cited
  • 2009On adaptive stratification26 cited
  • 2013Control variates and conditional Monte Carlo for basket and Asian options20 cited
  • 2022ADAPTIVE STRATIFIED SAMPLING FOR NONSMOOTH PROBLEMS9 cited

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