Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (Q5305932): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2100100053 / rank | |||
Normal rank | |||
Latest revision as of 23:00, 19 March 2024
scientific article; zbMATH DE number 5686550
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation |
scientific article; zbMATH DE number 5686550 |
Statements
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (English)
0 references
24 March 2010
0 references
stochastic approximation algorithms
0 references
constrained algorithm
0 references
unconstrained algorithm
0 references
almost sure convergence
0 references
Esscher transform
0 references
Monte Carlo simulation
0 references
variance reduction
0 references
infinitely divisible distribution
0 references
importance sampling method
0 references
Lévy process
0 references
optimal measure change
0 references
numerical examples
0 references
