Importance sampling and statistical Romberg method (Q888470): Difference between revisions

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Revision as of 00:31, 11 July 2024

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Importance sampling and statistical Romberg method
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    Importance sampling and statistical Romberg method (English)
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    30 October 2015
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    importance sampling
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    statistical Romberg method
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    stochastic algorithm
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    central limit theorem
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    almost sure convergence
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    Monte Carlo simulations
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    Euler scheme
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    Heston model
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    variance reduction
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