On numerical integration by the shift and application to Wiener space

Nicolas Bouleau (1)

1 LAMM - Laboratoire de Mathématiques et Modélisation

The aim of this study is to clarify the consequences of recent theoretical results for the numerical computation of expectation by the shift method, and in particular to yield sufficient criteria for the existence of speed of convergence of the type `iterated logarithm' in several situations. We deepen the case of the Wiener space because it contains many situations useful in applications.

Mots clés: shift; regodic theory; iterated logarithm; Monte Carlo; Wiener space

Domaines: Probabilités [math.PR]

Nicolas Bouleau. On numerical integration by the shift and application to Wiener space. Acta Applicandae Mathematicae, 1991, 25, pp.201-220. ⟨hal-00107444⟩