Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation

DOI10.1007/S11009-007-9043-5zbMath1146.65012OpenAlexW2011072577MaRDI QIDQ931375

Reiichiro Kawai

Publication date: 25 June 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/4694

zbMATH Keywords

stochastic approximationMonte Carlo simulationsvariance reductioninfinitely divisible distributiongamma distributionmathematical financeGirsanov theoremEsscher transformgamma copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Stochastic learning and adaptive control (93E35) Sequential statistical analysis (62L10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (12)

A framework for adaptive Monte Carlo procedures ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Optimizing Adaptive Importance Sampling by Stochastic Approximation ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Batching Adaptive Variance Reduction ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Uncertainty quantification of stochastic simulation for black-box computer experiments ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ Numerical methods for Lévy processes ⋮ Adaptive importance sampling and control variates ⋮ Convergence rates for optimised adaptive importance samplers ⋮ A general control variate method for option pricing under Lévy processes

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• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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