Reducing Bias in Event Time Simulations via Measure Changes
DOI10.1287/moor.2021.1156zbMath1492.65011OpenAlexW4210433149MaRDI QIDQ5085125
Alexander Shkolnik, Kay Giesecke
Publication date: 27 June 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2021.1156
Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76) Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)
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