Minimization of Computational Costs of Non-Analogue Monte Carlo Methods (Series on Soviet and East European Mathematics)

Non-analogue Monte Carlo methods are useful when the direct simulation techniques are insufficient. To use the additional discretization, Monte Carlo estimates are biased and it is desirable to optimize the connection between discretization paramenters and the sample size. In this connection, the book investigates variances of non-analogue Monte Carlo estimates, uniform minimization of variances by choosing a computational model and the minimization of computational cost of non-analogue Monte Carlo methods.