Importance sampling for Kolmogorov backward equations (Q1621680): Difference between revisions

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Latest revision as of 07:20, 17 July 2024

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Importance sampling for Kolmogorov backward equations
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    Importance sampling for Kolmogorov backward equations (English)
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    9 November 2018
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    transport equation
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    Feynman-Kac formula
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    Monte Carlo method
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    drift correction
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    stochastic differential equations
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    likelihood functions
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    option pricing
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