. Avellaneda, Weighted Monte Carlo, Int. J. Theor. Appl. Finance, vol.12, issue.1, pp.91-119, 2001.
DOI : 10.1002/9780470061602.eqf13011

C. , Z. Chen, H. Zhu, and Y. , Stochastic Approximation Procedure with randomly varying truncations, Scientia Sinica Series, 1986.
DOI : 10.3182/20020721-6-es-1901.00478

. Etoré, On adaptive stratification, Annals of Operations Research, vol.54, issue.2, p.319157, 2008.
DOI : 10.1007/s10479-009-0638-9

J. Etoré, P. Etoré, and B. Jourdain, Adaptive optimal allocation in stratified sampling methods, Methodol. Comput. Appl. Probab, 2008.

P. Glasserman, Monte Carlo methods in financial engineering, Stochastic Modelling and Applied Probability, 2004.
DOI : 10.1007/978-0-387-21617-1

N. Jourdain, B. Nguyen, and L. , Minimisation de l'entropie relative par m??thode de Monte-Carlo, Comptes Rendus de l'Acad??mie des Sciences - Series I - Mathematics, vol.332, issue.4, pp.345-350, 2001.
DOI : 10.1016/S0764-4442(01)01835-3

H. Kim, S. Kim, and S. G. Henderson, Adaptive Control Variates, Proceedings of the 2004 Winter Simulation Conference, 2004., 2004.
DOI : 10.1109/WSC.2004.1371369

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.143.7171

H. Kim, S. Kim, and S. G. Henderson, Adaptive Control Variates for Finite-Horizon Simulation, Mathematics of Operations Research, vol.32, issue.3, pp.508-527, 2007.
DOI : 10.1287/moor.1070.0251

. Lavenberg, Statistical Results on Control Variables with Application to Queueing Network Simulation, Operations Research, vol.30, issue.1, pp.182-202, 1982.
DOI : 10.1287/opre.30.1.182

T. Ledoux, M. Ledoux, and M. Talagrand, Probability in Banach spaces, Mathematics and Related Areas, 1991.
DOI : 10.1007/978-3-642-20212-4

J. Lelong, Asymptotic properties of stochastic algorithms and pricing of Parisian options, 2007.
URL : https://hal.archives-ouvertes.fr/tel-00201373

J. Lelong, Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions, Statistics & Probability Letters, vol.78, issue.16, p.78, 2008.
DOI : 10.1016/j.spl.2008.02.034

URL : https://hal.archives-ouvertes.fr/hal-00152255

P. Lemaire, V. Lemaire, and G. Pagès, Unconstrained recursive importance sampling, The Annals of Applied Probability, vol.20, issue.3, 2008.
DOI : 10.1214/09-AAP650

URL : https://hal.archives-ouvertes.fr/hal-00497551

B. L. Nelson, Control Variate Remedies, Operations Research, vol.38, issue.6, pp.974-992, 1990.
DOI : 10.1287/opre.38.6.974

L. Nguyen, Calibration de Modèles Financiers par Minimisation d'Entropie Relative et Modèles avec Sauts, 2003.

S. Rubinstein, R. Y. Rubinstein, and A. Shapiro, Discrete event systems, Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics Chichester. Sensitivity analysis and stochastic optimization by the score function method, 1993.