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Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

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CiteScore 2017: 0.67

SCImago Journal Rank (SJR) 2017: 0.417
Source Normalized Impact per Paper (SNIP) 2017: 0.860

Mathematical Citation Quotient (MCQ) 2017: 0.25

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Volume 9, Issue 1


On asymptotic behaviour of modelling time in the importance sampling method

Shvets V.V.

We deal with evaluation of an integral with the positive integrand g(v) : VR (here is a bounded domain) by standard Monte Carlo method with density p(v), proportional to the Strang–Fix approximation of function g(v), built on the uniform grid with step h in domain V . We consider the mean value of time required for modelling sampling value of random variable with respect to the density p(v) and investigate its asymptotic behaviour as h → 0.

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Published Online:

Published in Print: 2003-01-01

Citation Information: Monte Carlo Methods and Applications mcma, Volume 9, Issue 1, Pages 77–85, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/156939603322587489.

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