• Media type: E-Book; Report; Text
  • Title: On non-asymptotic optimal stopping criteria in Monte Carlo simulations
  • Contributor: Bayer, Christian [Author]; Hoel, Hakon [Author]; von Schwerin, Erik [Author]; Tempone, Raúl [Author]
  • imprint: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013
  • Issue: published Version
  • Language: English
  • DOI: https://doi.org/10.34657/2819
  • ISSN: 0946-8633; 0946-8633
  • Keywords: optimal stopping ; Monte Carlo methods ; sequential stopping rules ; non-asymptotic
  • Origination:
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  • Description: We consider the setting of estimating the mean of a random variable by a sequential stopping rule Monte Carlo (MC) method. The performance of a typical second moment based sequential stopping rule MC method is shown to be unreliable in such settings both by numerical examples and through analysis. By analysis and approximations, we construct a higher moment based stopping rule which is shown in numerical examples to perform more reliably and only slightly less efficiently than the second moment based stopping rule.
  • Access State: Open Access