On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations

DOI10.1137/130911433zbMath1296.65003OpenAlexW2103628129MaRDI QIDQ2875009

Christian Bayer, Raúl Tempone, Håkon Hoel, Erik von Schwerin

Publication date: 13 August 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/555670

zbMATH Keywords

numerical examplesoptimal stoppingMonte Carlo methodssequential stopping rulesnonasymptotic

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (4)

Extending the multi-level method for the simulation of stochastic biological systems ⋮ Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments ⋮ Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method ⋮ Optimization of mesh hierarchies in multilevel Monte Carlo samplers

This page was built for publication: On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations