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Revision as of 21:00, 5 March 2024

scientific article; zbMATH DE number 5216892
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English
Minimum variance importance sampling<i>via</i>Population Monte Carlo
scientific article; zbMATH DE number 5216892

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    Minimum variance importance sampling<i>via</i>Population Monte Carlo (English)
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    30 November 2007
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    adaptivity
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    cox-ingersoll-Ross model
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    Euler scheme
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    importance sampling
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    mathematical finance
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    mixtures
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    moderate deviations
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    population Monte Carlo
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    variance reduction
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