Calculs d'espérance par simulation
Résumé
This is a simple survey of the main methods used in simulation in the aim of computing expectations of random variables : - The Monte Carlo method, based on the large number theorem and pseudo-random sequences, - The quasi-Monte Carlo methods, based on low discrepancy sequences, - Hybrid methods, - the shift method, based on the pointwise ergodic theorem. The case of infinite dimensional settings is also discussed.
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