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Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
discrete Wick calculus fractional Brownian motion weak convergence
2010/10/19
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...
Approximating the inverse of banded matrices by banded matrices with applications to probability and statistics
infinite band-dominated matrices Gaussian stochastic processes mixing conditions high dimensional statistical inference
2010/3/10
In the first part of this paper we give an elementary proof of the fact that if an infinite matrix
A, which is invertible as a bounded operator on `2, can be uniformly approximated by banded matrices...
Approximating the characteristics of sequential tests
Approximating the characteristics of sequential tests
2009/9/22
In this paper the dependence structure inherent in the
sequence of partial sums is utilized to derive accurate approximations
for the taiI probabilities of the stopping time associated with sequenti...