Séminaire de Probabilités et Statistique

Le lundi 28 novembre 2011 à 14:45 - UM2 - Bât 09 - Salle 331 (3ème étage)

Jérôme Lelong
Un cadre pour les méthodes de Monte Carlo adaptatives

Adaptive Monte Carlo methods are powerful variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sampling techniques presented by Arouna in 2003. We establish the convergence and asymptotic normality of the adaptive Monte Carlo estimator under local assumptions which are easily verifiable in practice. We present one way of approximating the optimal importance sampling parameter using a randomly truncated stochastic algorithm. Finally, we apply this technique to the valuation of financial derivatives and our numerical experiments show a significant variance reduction.

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