Multi-level stochastic approximation algorithms (Q292915): Difference between revisions

@@ Property / cites work @@
+On mixing and stability of limit theorems
@@ Property / cites work: On mixing and stability of limit theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
+Normal rank
@@ Property / cites work @@
+Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC
+Normal rank
@@ Property / cites work @@
+CV<scp>a</scp> R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM
+Normal rank
@@ Property / cites work @@
+Q3997575
@@ Property / cites work: Q3997575 / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorem for the multilevel Monte Carlo Euler method
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Stochastic algorithms
@@ Property / cites work: Stochastic algorithms / rank @@
+Normal rank
@@ Property / cites work @@
+Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
+Normal rank
@@ Property / cites work @@
+Shortfall Risk Minimization in Discrete Time Financial Market Models
+Normal rank
@@ Property / cites work @@
+Concentration bounds for stochastic approximations
+Normal rank
@@ Property / cites work @@
+Q3504233
@@ Property / cites work: Q3504233 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433869
@@ Property / cites work: Q4433869 / rank @@
+Normal rank
@@ Property / cites work @@
+Rates of convergence to the local time of a diffusion
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Q4421713
@@ Property / cites work: Q4421713 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
+Normal rank
@@ Property / cites work @@
+Acceleration of Stochastic Approximation by Averaging
+Normal rank
@@ Property / cites work @@
+Q5515900
@@ Property / cites work: Q5515900 / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Approximation Method
@@ Property / cites work: A Stochastic Approximation Method / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2257202712
@@ Property / OpenAlex ID: W2257202712 / rank @@
+Normal rank