Modification of Two-Step Monte Carlo Algorithms Basedon the Symmetry of the First Step

摘要

Two-step Monte Carlo algorithms are modified taking into account the symmetry (i.e.,invariance) of the first step about some initial vector parameter of the modeled trajectory. In the mod-ification, the modeling of this parameter is formally transferred to the second step of the algorithm. Inthe "splitting method," this means the randomization of the initial points of auxiliary trajectories. Itis shown that the randomization can be improved by applying the Bellman principle.