Reliability and accuracy in the space Lp(T) for the calculation of integrals depending on a parameter by the Monte Carlo method

Kozachenko Yuriy V. () and Mlavets Yuriy Y. ()
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Kozachenko Yuriy V.: Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska Str. 64, Kyiv 01601, Ukraine
Mlavets Yuriy Y.: Department of Cybernetics and Applied Mathematics, Faculty of Mathematics, Uzhhorod National University, University Str. 14, Uzghorod 88000, Ukraine

Monte Carlo Methods and Applications, 2015, vol. 21, issue 3, 233-244

Abstract: This paper is devoted to the estimation of the accuracy and reliability (in Lp(T) metrics) for the calculation of improper integrals depending on a parameter t using the Monte Carlo method. For this estimates we use the theory of 𝐅ψ(Ω) spaces.

Keywords: 𝐅ψ(Ω) space of random variables; condition 𝐇; Monte Carlo method; random process (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/mcma-2015-0104

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