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Unconstrained Recursive Importance Sampling

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References

1999Continuous Martingales and Brownian Motion6,200 cited
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1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
2000Weak approximation of killed diffusion using Euler schemes188 cited
1987Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds116 cited
2004Adaptative Monte Carlo Method, A Variance Reduction Technique84 cited

Cited by

2015Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process30 cited
2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations26 cited
2010Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata26 cited
2012Stochastic approximation with averaging innovation applied to Finance25 cited
2011A framework for adaptive Monte Carlo procedures23 cited

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