Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization

Doklady Mathematics ◽

10.1134/s1064562418060261 ◽

2018 ◽

Vol 98 (2) ◽

pp. 494-497 ◽

Author(s):

D. V. Belomestny ◽

L. S. Iosipoi ◽

N. K. Zhivotovskiy

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Variance Minimization ◽

Empirical Variance

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Variance Reduction for Monte Carlo Methods

Доклады Академии наук ◽

10.31857/s086956520002903-6 ◽

2018 ◽

Vol 482 (6) ◽

pp. 627-630

Author(s):

D. Belomestny ◽

◽

L. Iosipoi ◽

N. Zhivotovskiy ◽

◽

...

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction

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Accelerating Monte Carlo: quasirandom sequences and variance reduction

The Journal of Computational Finance ◽

10.21314/jcf.1997.007 ◽

1997 ◽

Vol 1 (2) ◽

pp. 79-95 ◽

Author(s):

Leonard Berman

Keyword(s):

Monte Carlo ◽

Variance Reduction

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Variance reduction methods applied to deep-penetration Monte Carlo problems

10.2172/5970446 ◽

1986 ◽

Author(s):

S N Cramer ◽

J S Tang

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Deep Penetration ◽

Reduction Methods

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A Variance Reduction Approach for Monte Carlo Solutions of the Non-Linear Boltzmann Equation

ASME 3rd International Conference on Microchannels and Minichannels, Part B cont’d ◽

10.1115/icmm2005-75099 ◽

2005 ◽

Author(s):

Lowell L. Baker ◽

Nicolas G. Hadjiconstantinou

Keyword(s):

Monte Carlo ◽

Boltzmann Equation ◽

Variance Reduction ◽

Linear Boltzmann Equation ◽

Reduction Approach

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Efficient Variance Reduction with Least-Squares Monte Carlo Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3795621 ◽

2021 ◽

Author(s):

François-Michel Boire ◽

R. Mark Reesor ◽

Lars Stentoft

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Variance Reduction ◽

Least Squares Monte Carlo

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Automatic Variance Reduction for Three-Dimensional Monte Carlo Simulations by the Local Importance Function Transform—I: Analysis

Nuclear Science and Engineering ◽

10.13182/nse127-22 ◽

1997 ◽

Vol 127 (1) ◽

pp. 22-35 ◽

Author(s):

Scott A. Turner ◽

Edward W. Larsen

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

Variance Reduction ◽

Three Dimensional ◽

Importance Function

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Implementation of variance-reduction techniques for Monte Carlo nuclear logging calculations with neutron sources

Radiation Protection Dosimetry ◽

10.1093/rpd/nci245 ◽

2005 ◽

Vol 116 (1-4) ◽

pp. 498-503 ◽

Author(s):

M. Maučec

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Neutron Sources ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Variance Reduction in Monte Carlo Simulation of Electric Power Production Costs

American Journal of Mathematical and Management Sciences ◽

10.1080/01966324.1997.10737440 ◽

1997 ◽

Vol 17 (3-4) ◽

pp. 239-262 ◽

Author(s):

Mainak Mazumdar ◽

Anoop Kapoor

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Electric Power ◽

Variance Reduction ◽

Power Production ◽

Production Costs ◽

Electric Power Production

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Variance Reduction through Multilevel Monte Carlo Path Calculations

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch12 ◽

2007 ◽

pp. 215-223

Author(s):

Michael Giles

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Multilevel Monte Carlo

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Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options

Journal of Mathematical Finance ◽

10.4236/jmf.2013.34045 ◽

2013 ◽

Vol 03 (04) ◽

pp. 431-436 ◽

Author(s):

Qiang Zhao ◽

Guo Liu ◽

Guiding Gu

Keyword(s):

Monte Carlo ◽

Importance Sampling ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Variance Reduction Techniques ◽

Pricing Options ◽

Reduction Techniques

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