On the simulation of expectations of random variables depending on a stopping time

DOI10.1080/07362999308809307zbMath0777.65079OpenAlexW1976937297MaRDI QIDQ4039248

Mohamed Ben Alaya

Publication date: 9 December 1993

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

Full work available at URL: https://doi.org/10.1080/07362999308809307

zbMATH Keywords

rate of convergencenumerical examplesrandom variablesstopping timeMarkov chainsimulation of expectations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables

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