1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
|
@article{tuffin2004randomization,
title={Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation},
author={Tuffin, Bruno},
journal={Monte Carlo Methods and Applications mcma},
volume={10},
number={3-4},
pages={617--628},
year={2004}
}
@article{etore:hal-00192540,
TITLE = {{Adaptive optimal allocation in stratified sampling methods}},
AUTHOR = {Etore, Pierre and Jourdain, Benjamin},
URL = {https://hal.archives-ouvertes.fr/hal-00192540},
JOURNAL = {{Methodology and Computing in Applied Probability}},
PUBLISHER = {{Springer Verlag}},
VOLUME = {12},
NUMBER = {3},
PAGES = {335-360},
YEAR = {2010},
MONTH = Sep,
DOI = {10.1007/s11009-008-9108-0},
KEYWORDS = {adaptive Monte Carlo methods ; stratified sampling ; mathematical finance},
PDF = {https://hal.archives-ouvertes.fr/hal-00192540/file/propopt.pdf},
HAL_ID = {hal-00192540},
HAL_VERSION = {v2},
}
@article{Tuffin:1997:VRA:268403.268419,
author = {Tuffin, Bruno},
title = {Variance Reduction Applied to Product Form Multiclass Queuing Networks},
journal = {ACM Trans. Model. Comput. Simul.},
issue_date = {Oct. 1997},
volume = {7},
number = {4},
month = oct,
year = {1997},
issn = {1049-3301},
pages = {478--500},
numpages = {23},
url = {http://doi.acm.org/10.1145/268403.268419},
doi = {10.1145/268403.268419},
acmid = {268419},
publisher = {ACM},
address = {New York, NY, USA},
keywords = {Monte Carlo, antithetic variates, low discrepancy sequences, product-form networks, variance reduction},
}
@article{glasserman1999asymptotically,
title={Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options},
author={Glasserman, Paul and Heidelberger, Philip and Shahabuddin, Perwez},
journal={Mathematical finance},
volume={9},
number={2},
pages={117--152},
year={1999},
publisher={Wiley Online Library}
}
|
