Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation

DOI10.1057/JORS.1988.158zbMath0671.65120OpenAlexW2050042527MaRDI QIDQ3823785

Maria C. M. Guedes, Robert Ashford

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1057/jors.1988.158

zbMATH Keywords

stochastic simulationsvariance reductioncontrol variablescapital budgetingpercentile estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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