Parametric weighted minimax estimates in Monte Carlo methods

DOI10.1134/S0965542513090091zbMath1299.93295OpenAlexW2048000093MaRDI QIDQ5413205

Sergey A. Rozhenko, Gennady A. Mikhailov

Publication date: 28 April 2014

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542513090091

zbMATH Keywords

Monte Carlo methodminimax algorithmssimilar trajectory method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Optimality conditions for minimax problems (49K35)

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