Using martingales to make stochastic simulations more precise

DOI10.1016/0377-2217(89)90472-4zbMath0685.65135OpenAlexW2010036372MaRDI QIDQ1262109

E. M. L. Beale, Robert Ashford

Publication date: 1989

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(89)90472-4

zbMATH Keywords

regression analysismartingalesefficiencystochastic simulationsvariance reductioncontrol variablescontrol statistics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
• Ethical issues in modeling: Some reflections

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