Importance sampling and statistical Romberg method for Lévy processes (Q271865): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F05 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62L20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60E07 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6570915 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Lévy processes | |||
| Property / zbMATH Keywords: Lévy processes / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Esscher transform | |||
| Property / zbMATH Keywords: Esscher transform / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
central limit theorems | |||
| Property / zbMATH Keywords: central limit theorems / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
statistical Romberg method | |||
| Property / zbMATH Keywords: statistical Romberg method / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Monte Carlo method | |||
| Property / zbMATH Keywords: Monte Carlo method / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
variance reduction | |||
| Property / zbMATH Keywords: variance reduction / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
CGMY model | |||
| Property / zbMATH Keywords: CGMY model / rank | |||
Normal rank | |||
Revision as of 15:41, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling and statistical Romberg method for Lévy processes |
scientific article |
Statements
Importance sampling and statistical Romberg method for Lévy processes (English)
0 references
20 April 2016
0 references
Lévy processes
0 references
Esscher transform
0 references
central limit theorems
0 references
statistical Romberg method
0 references
Monte Carlo method
0 references
variance reduction
0 references
CGMY model
0 references
