Calculs d'espérance par simulation

Nicolas Bouleau (1)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique

This is a simple survey of the main methods used in simulation in the aim of computing expectations of random variables : - The Monte Carlo method, based on the large number theorem and pseudo-random sequences, - The quasi-Monte Carlo methods, based on low discrepancy sequences, - Hybrid methods, - the shift method, based on the pointwise ergodic theorem. The case of infinite dimensional settings is also discussed.

Mots clés: pseudo-random generator; itareted logarithm; equidistribution; equidistributed; translation of the torus; stoping time; Wiener space

Domaines: Analyse numérique [math.NA]

Nicolas Bouleau. Calculs d'espérance par simulation. Matapli, 1993, pp.7-12. ⟨hal-00451820⟩