Using martingales to make stochastic simulations more precise (Q1262109)
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scientific article; zbMATH DE number 4123265
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using martingales to make stochastic simulations more precise |
scientific article; zbMATH DE number 4123265 |
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Using martingales to make stochastic simulations more precise (English)
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1989
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This paper proposes to improve the efficiency of stochastic simulations by using martingales as control statistics. The theory is presented and a simple example is used to illustrate the approach.
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control variables
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variance reduction
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regression analysis
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efficiency
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stochastic simulations
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martingales
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control statistics
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