A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion

DOI10.1016/0304-4149(88)90038-5zbMath0645.62027OpenAlexW2052591547MaRDI QIDQ1103289

Antonella Calzolari, Cristina Costantini, Federico Marchetti

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90038-5

zbMATH Keywords

rate of convergenceweak convergencereflecting Brownian motionempirical distributionminimum sample sizefinite samplingapproximating schemeestimate of errorsMonte Carlo evaluation of functionals of stochastic processesVapnis-Chervonenkis estimates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Boundary theory for Markov processes (60J50) Probabilistic methods, stochastic differential equations (65C99)

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