Stochastic monotonicity and conditional Monte Carlo for likelihood ratios

DOI10.2307/1427498zbMath0774.65101OpenAlexW2333873593MaRDI QIDQ5286069

Paul Glasserman

Publication date: 29 June 1993

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427498

zbMATH Keywords

importance samplingvariance reductionstochastic orderingassociated random variablesmonotone likelihood ratiostochastic monotonicityconditional Monte Carlostochastically monotone Markov chainsPoisson-process

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99)

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