Variance reduction techniques for estimation of integrals over a set of branching trajectories

DOI10.1134/S0965542514020122zbMath1313.60076MaRDI QIDQ2940365

E. A. Tsvetkov

Publication date: 26 January 2015

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo variance reductionvon Neumann-Ulam schemebranching trajectoriessupertrack approach

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05)

Uses Software

• MCNP

Cites Work

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• Adjoint Monte Carlo Calculations of Pulse-Height-Spectrum