On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws

Reiichiro Kawai, Junichi Imai

研究成果: Conference contribution

2 被引用数 (Scopus)

抄録

Infinitely divisible random vectors and Lévy processes without Gaussian component admit representations with shot noise series. To enhance efficiency of the series representation in Monte Carlo simulations, we discuss variance reduction methods, such as stratified sampling, control variates and importance sampling, applied to exponential interarrival times forming the shot noise series. We also investigate the applicability of the generalized linear transformation method in the quasi-Monte Carlo framework to random elements of the series representation. Although implementation of the proposed techniques requires a small amount of initial work, the techniques have the potential to yield substantial improvements in estimator efficiency, as the plain use of the series representation in those frameworks is often expensive. Numerical results are provided to illustrate the effectiveness of our approaches.

本文言語English
ホスト出版物のタイトルMonte Carlo and Quasi-Monte Carlo Methods 2010
出版社Springer New York LLC
ページ471-486
ページ数16
ISBN(印刷版)9783642274398
DOI
出版ステータスPublished - 2012
イベント9th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2010 - Warsaw, Poland
継続期間: 2010 8 152010 8 20

出版物シリーズ

名前Springer Proceedings in Mathematics and Statistics
23
ISSN(印刷版)2194-1009
ISSN(電子版)2194-1017

Other

Other9th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2010
CountryPoland
CityWarsaw
Period10/8/1510/8/20

ASJC Scopus subject areas

  • Mathematics(all)

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