Robust Variance Reduction for Random Walk Methods

DOI10.1137/S1064827503424025zbMath1066.65018MaRDI QIDQ4652302

Robert D. Skeel, Gang Zou

Publication date: 25 February 2005

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

zbMATH Keywords

importance samplingstochastic differential equationspath integralsMonte Carlo simulationvariance reductionrandom walk methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Kinetics in biochemical problems (pharmacokinetics, enzyme kinetics, etc.) (92C45) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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