Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585): Difference between revisions
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Revision as of 22:19, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal importance sampling for the Laplace transform of exponential Brownian functionals |
scientific article |
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Optimal importance sampling for the Laplace transform of exponential Brownian functionals (English)
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11 August 2016
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exponential Brownian functional
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Monte Carlo method
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importance sampling
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calculus of variation
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large deviations
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Dothan model
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