Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation (Q5421636)
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scientific article; zbMATH DE number 5204537
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation |
scientific article; zbMATH DE number 5204537 |
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Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation (English)
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24 October 2007
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two-time-scale stochastic approximation algorithm
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control variates
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importance sampling
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adaptive Monte Carlo variance reduction
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Brownian motion
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law of large numbers
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central limit theorem
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financial engineering
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convergence
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algorithm
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numerical experiment
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